Asset price dynamics and diversification with heterogeneous agents

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dc.contributor.author Chiarella, C
dc.contributor.author Died, R
dc.contributor.author Gardini, L
dc.date.accessioned 2010-06-18T02:06:50Z
dc.date.issued 2005
dc.identifier.citation 2005, 550 pp. 251 - 267
dc.identifier.isbn 9783540222378
dc.identifier.other B1 en_US
dc.identifier.uri http://hdl.handle.net/10453/12378
dc.description.abstract A discrete-time dynamic model of a financial market is developed, where two types of agents, fundamentalists and chartists, allocate their wealth between two risky assets and a safe asset, according to one-period mean-variance maximization. The two groups of agents form different expectations about asset returns and their variance/covariance structure, and this results in different demand functions. At the end of each trading period, agents' demands are aggregated by a market maker, who sets the next period prices as functions of the excess demand. The model results in a high-dimensional nonlinear discrete-time dynamical system, which describes the time evolution of prices and agents' beliefs about expected returns, variances and correlation. It is shown that the unique steady state may become unstable through a Hopf-bifurcation and that an attracting limit cycle, or more complex attractors, exist for particular ranges of the key parameters. In particular, the two risky assets may exhibit "coupled" long-run price fluctuations and time-varying correlation of returns. © 2005 Springer-Verlag Berlin Heidelberg.
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon 10.1007/3-540-27296-8_17
dc.rights The original publication is available at www.springerlink.com en_US
dc.title Asset price dynamics and diversification with heterogeneous agents
dc.type Chapter
dc.journal.volume 550
dc.journal.number en_US
dc.publocation Berlin, Germany en_US
dc.publocation Perth, Australia
dc.identifier.startpage 251 en_US
dc.identifier.endpage 267 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.conference Australian and New Zealand Marketing Academy Conference
dc.for 1401 Economic Theory
dc.for 1403 Econometrics
dc.personcode 716350
dc.percentage 60 en_US
dc.classification.name Economic Theory en_US
dc.classification.type FOR-08 en_US
dc.edition 1 en_US
dc.custom en_US
dc.date.activity en_US
dc.date.activity 2005-12-05
dc.location.activity en_US
dc.location.activity Fremantle, Australia
dc.description.keywords bounded rationality; heterogeneous beliefs; asset price dynamics; nonlinear dynamical systems en_US
dc.description.keywords organisational structure
dc.description.keywords interpersonal trust
dc.description.keywords communication
dc.description.keywords new product development
dc.description.keywords marekting/ R&D relationships
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)


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