A simple agent-based financial market model

Autori

• Frank H. Westerhoff

Parametri

• Economia e affari
• BERG working paper series on government and growth

Maggiori informazioni sul libro

We develop an agent-based financial market model in which agents follow technical and fundamental trading rules to determine their speculative investment positions. A central feature of our model is that we consider direct interactions between speculators due to which they may decide to change their trading behavior. For instance, if a technical trader meets a fundamental trader and they realize that fundamental trading has been more profitable than technical trading in the recent past, the probability that the technical trader switches to fundamental trading rules is relatively high. Our simple setup is able to replicate some salient features of asset price dynamics.

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Lingua: Inglese

Pubblicato: 2009

(In brossura)