Dynamics of moving average rules in continuous-time financial market model

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dc.contributor.author He, X
dc.contributor.author Zheng, M
dc.date.accessioned 2011-02-07T06:17:52Z
dc.date.issued 2010-01
dc.identifier.citation Journal of Economic Behavior & Organization, 2010, 76 (3), pp. 615 - 634
dc.identifier.issn 0167-2681
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/12994
dc.description.abstract Within a continuous-time framework, this paper proposes a stochastic heterogeneous agent model (HAM) of financial markets with time delays to unify various moving average rules used in discrete-time HAMs. The time delay represents a memory length of a moving average rule in discrete-time HAMs. Intuitive conditions for the stability of the fundamental price of the deterministic model in terms of agentsï½ behavior parameters and memory length are obtained. It is found that an increase in memory length not only can destabilize the market price, resulting in oscillatory market price characterized by a Hopf bifurcation, but also can stabilize an otherwise unstable market price, leading to stability switching as the memory length increases. Numerical simulations show that the stochastic model is able to characterize long deviations of the market price from its fundamental price and excess volatility and generate most of the stylized facts observed in financial markets.
dc.publisher Elsevier B.V.
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.hasversion http://dx.doi.org/10.1016/j.jebo.2010.08.005 en_US
dc.relation.isbasedon 10.1016/j.jebo.2010.08.005
dc.rights NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Economic Behavior & Organization. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Economic Behavior & Organization, [Volume 76, Issue 3, December 2010, Pages 615–634] DOI# http://dx.doi.org/10.1016/j.jebo.2010.08.005 en_US
dc.title Dynamics of moving average rules in continuous-time financial market model
dc.type Journal Article
dc.parent Journal of Economic Behavior & Organization
dc.journal.volume 3
dc.journal.volume 76
dc.journal.number 3 en_US
dc.publocation Netherlands en_US
dc.identifier.startpage 615 en_US
dc.identifier.endpage 634 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1402 Applied Economics
dc.personcode 010238
dc.personcode 999047
dc.percentage 100 en_US
dc.classification.name Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Asset price; Financial market behavior; Heterogeneous beliefs; Stochastic delay differential equations; Stability; Bifurcations; Stylized facts en_US
dc.description.keywords Asset price
dc.description.keywords Financial market behavior
dc.description.keywords Heterogeneous beliefs
dc.description.keywords Stochastic delay differential equations
dc.description.keywords Stability
dc.description.keywords Bifurcations
dc.description.keywords Stylized facts
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 Open Access
utslib.copyright.date 2015-04-15 12:23:47.074767+10
utslib.collection.history General (ID: 2)


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