A Heterogeneous Agent Model of Asspet Price with Three Time Delays
This paper considers a continuous-time heterogeneous agent model ofa ...nancial market with one risky asset, two types of agents (i.e., thefundamentalists and the chartists), and three time delays. The chartistdemand is determined through a nonlinear function of the di¤erence be-tween the current pr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2016-09-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
| Subjects: | |
| Online Access: | http://journal.frontiersin.org/Journal/10.3389/fams.2016.00015/full |
| _version_ | 1818854168293539840 |
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| author | Akio Matsumoto Ferenc Szidarovszky |
| author_facet | Akio Matsumoto Ferenc Szidarovszky |
| author_sort | Akio Matsumoto |
| collection | DOAJ |
| description | This paper considers a continuous-time heterogeneous agent model ofa ...nancial market with one risky asset, two types of agents (i.e., thefundamentalists and the chartists), and three time delays. The chartistdemand is determined through a nonlinear function of the di¤erence be-tween the current price and a weighted moving average of the delayedprices whereas the fundamentalist demand is governed by the di¤erencebetween the current price and the fundamental value. The asset price dy-namics is described by a nonlinear delay di¤erential equation. Two mainresults are analytically and numerically shown:(i) the delay destabilizes the market price and generates cyclic oscillationsaround the equilibrium;(ii) under multiple delays, stability loss and gain repeatedly occurs as alength of the delay increases. |
| first_indexed | 2024-12-19T07:48:25Z |
| format | Article |
| id | doaj.art-18fb66f35363473a9d7262bc622fd77e |
| institution | Directory Open Access Journal |
| issn | 2297-4687 |
| language | English |
| last_indexed | 2024-12-19T07:48:25Z |
| publishDate | 2016-09-01 |
| publisher | Frontiers Media S.A. |
| record_format | Article |
| series | Frontiers in Applied Mathematics and Statistics |
| spelling | doaj.art-18fb66f35363473a9d7262bc622fd77e2022-12-21T20:30:16ZengFrontiers Media S.A.Frontiers in Applied Mathematics and Statistics2297-46872016-09-01210.3389/fams.2016.00015216163A Heterogeneous Agent Model of Asspet Price with Three Time DelaysAkio Matsumoto0Ferenc Szidarovszky1Chuo UniversityUniversity of PécsThis paper considers a continuous-time heterogeneous agent model ofa ...nancial market with one risky asset, two types of agents (i.e., thefundamentalists and the chartists), and three time delays. The chartistdemand is determined through a nonlinear function of the di¤erence be-tween the current price and a weighted moving average of the delayedprices whereas the fundamentalist demand is governed by the di¤erencebetween the current price and the fundamental value. The asset price dy-namics is described by a nonlinear delay di¤erential equation. Two mainresults are analytically and numerically shown:(i) the delay destabilizes the market price and generates cyclic oscillationsaround the equilibrium;(ii) under multiple delays, stability loss and gain repeatedly occurs as alength of the delay increases.http://journal.frontiersin.org/Journal/10.3389/fams.2016.00015/fullbifurcationthree time delaysHeterogeneous agents modelStability switching curvesDelay e¤ect |
| spellingShingle | Akio Matsumoto Ferenc Szidarovszky A Heterogeneous Agent Model of Asspet Price with Three Time Delays Frontiers in Applied Mathematics and Statistics bifurcation three time delays Heterogeneous agents model Stability switching curves Delay e¤ect |
| title | A Heterogeneous Agent Model of Asspet Price with Three Time Delays |
| title_full | A Heterogeneous Agent Model of Asspet Price with Three Time Delays |
| title_fullStr | A Heterogeneous Agent Model of Asspet Price with Three Time Delays |
| title_full_unstemmed | A Heterogeneous Agent Model of Asspet Price with Three Time Delays |
| title_short | A Heterogeneous Agent Model of Asspet Price with Three Time Delays |
| title_sort | heterogeneous agent model of asspet price with three time delays |
| topic | bifurcation three time delays Heterogeneous agents model Stability switching curves Delay e¤ect |
| url | http://journal.frontiersin.org/Journal/10.3389/fams.2016.00015/full |
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