An analysis of the effect of noise in a heterogeneous agent financial market model

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dc.contributor.author Chiarella, C
dc.contributor.author He, X-Z
dc.contributor.author Zheng, M
dc.date.accessioned 2012-02-02T04:32:18Z
dc.date.issued 2011-01
dc.identifier.citation Journal of Economic Dynamics and Control, 2011, 35 (1), pp. 148 - 162
dc.identifier.issn 0165-1889
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/14538
dc.description.abstract Heterogeneous agent models (HAMs) in finance and economics are often characterised by high dimensional nonlinear stochastic differential or difference systems. Because of the complexity of the interaction between the nonlinearities and noise, a commonly used, often called indirect, approach to the study of HAMs combines theoretical analysis of the underlying deterministic skeleton with numerical analysis of the stochastic model. However, it is well known that this indirect approach may not properly characterise the nature of the stochastic model. This paper aims to tackle this issue by developing a direct and analytical approach to the analysis of a stochastic model of speculative price dynamics involving two types of agents, fundamentalists and chartists, and the market price equilibria of which can be characterised by the stationary measures of a stochastic dynamical system. Using the stochastic method of averaging and stochastic bifurcation theory, we show that the stochastic model displays behaviour consistent with that of the underlying deterministic model when the time lag in the formation of price trends used by the chartists is far away from zero. However, when this lag approaches zero, such consistency breaks down. © 2010 Elsevier B.V.
dc.language eng
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon 10.1016/j.jedc.2010.09.006
dc.rights NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Economic Dynamics and Control. 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 Dynamics and Control, [Volume 35, Issue 1, January 2011, Pages 148–162] DOI#” http://dx.doi.org/10.1016/j.jedc.2010.09.006 en_US
dc.title An analysis of the effect of noise in a heterogeneous agent financial market model
dc.type Journal Article
dc.description.version Published
dc.parent Journal of Economic Dynamics and Control
dc.journal.volume 1
dc.journal.volume 35
dc.journal.number 1 en_US
dc.publocation Amsterdam, Netherlands en_US
dc.identifier.startpage 148 en_US
dc.identifier.endpage 162 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 010205 Financial Mathematics
dc.personcode 010238
dc.personcode 999047
dc.personcode 716350
dc.percentage 100 en_US
dc.classification.name Financial Mathematics 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 Heterogeneous agents, Speculative behaviour, Stochastic bifurcations, Stationary measures, Chartists en_US
dc.description.keywords natural resource damage assessment, environmental liability, oil spills, liability, prevention, contingent valuation, Exxon Valdez
dc.description.keywords Heterogeneous agents
dc.description.keywords Speculative behaviour
dc.description.keywords Stochastic bifurcations
dc.description.keywords Stationary measures
dc.description.keywords Chartists
dc.description.keywords Chartists
dc.description.keywords Heterogeneous agents
dc.description.keywords Speculative behaviour
dc.description.keywords Stationary measures
dc.description.keywords Stochastic bifurcations
dc.description.keywords Chartists
dc.description.keywords Chartists
dc.description.keywords Heterogeneous agents
dc.description.keywords Heterogeneous agents
dc.description.keywords Speculative behaviour
dc.description.keywords Speculative behaviour
dc.description.keywords Stationary measures
dc.description.keywords Stationary measures
dc.description.keywords Stochastic bifurcations
dc.description.keywords Stochastic bifurcations
dc.description.keywords Chartists
dc.description.keywords Heterogeneous agents
dc.description.keywords Speculative behaviour
dc.description.keywords Stationary measures
dc.description.keywords Stochastic bifurcations
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


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