The equilibrium allocation of diffusive and jump risks with heterogeneous agents

2005 ◽  
Vol 29 (9) ◽  
pp. 1547-1576 ◽  
Author(s):  
Stephan Dieckmann ◽  
Michael Gallmeyer
Keyword(s):  
Heterogeneous Agents ◽  
Equilibrium Allocation ◽  
Jump Risks

Heterogeneous Agents and Non-Normal Fundamentals

2005 ◽  
Author(s):  
Marianna Grimaldi ◽  
Remco C. J. Zwinkels
Keyword(s):  
Heterogeneous Agents

scholarly journals Global and local reduced models for interacting, heterogeneous agents

2021 ◽  
Vol 31 (7) ◽  
pp. 073139
Author(s):  
Thomas N. Thiem ◽  
Felix P. Kemeth ◽  
Tom Bertalan ◽  
Carlo R. Laing ◽  
Ioannis G. Kevrekidis
Keyword(s):  
Heterogeneous Agents ◽  
Reduced Models ◽  
Global And Local

scholarly journals Emergent volatility in asset markets with heterogeneous agents

2001 ◽  
Vol 6 (3) ◽  
pp. 171-180 ◽  
Author(s):  
Honggang Li ◽  
J. Barkley Rosser
Keyword(s):  
Heterogeneous Agents ◽  
Moving Average ◽  
Asset Price ◽  
Market Price ◽  
Switching Behavior ◽  
Asset Markets ◽  
Technical Trading Rules ◽  
Market Participants ◽  
Fundamental Value ◽  
Discrete Formulation

This paper examines the emergence of complex volatility in dynamic asset markets when there are heterogeneous agents. A discrete formulation is studied with two categories of market participants, fundamentalist traders who buy when the asset price is below the fundamental value and sell when it is above and noise traders who use moving average technical trading rules that can lead them to chase trends. Agents switch from one type of strategy to the other according to relative returns. A variety of outcomes are studied using numerical simulation, including variation of market price responsiveness to changes in excess demand, in switching behavior, and the introduction of noise. Bifurcation analysis of certain parameters is presented.

scholarly journals Strong random correlations in networks of heterogeneous agents

2014 ◽  
Vol 9 (2) ◽  
pp. 203-232 ◽  
Author(s):  
Imre Kondor ◽  
István Csabai ◽  
Gábor Papp ◽  
Enys Mones ◽  
Gábor Czimbalmos ◽  
...  
Keyword(s):  
Heterogeneous Agents
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