Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents.pdfVIP

下载本文档

2
0
约9.41万字
约 19页
2017-03-16 发布于天津
举报
版权申诉

Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents.pdf

1、本文档共19页，可阅读全部内容。
2、原创力文档（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。
3、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击这里二次下载。
4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。
5、该文档为VIP文档，如果想要下载，成为VIP会员后，下载免费。
6、成为VIP后，下载本文档将扣除1次下载权益。下载后，不支持退款、换文档。如有疑问请联系我们。
7、成为VIP后，您将拥有八大权益，权益包括：VIP文档下载权益、阅读免打扰、文档格式转换、高级专利检索、专属身份标志、高级客服、多端互通、版权登记。
8、VIP文档为合作方或网友上传，每下载1次，网站将根据用户上传文档的质量评分、类型等，对文档贡献者给予高额补贴、流量扶持。如果你也想贡献VIP文档。上传文档

Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents.pdf

Physica A 388 (2009) 4126–4144 Contents lists available at ScienceDirect Physica A journal homepage: /locate/physa Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents Gunter M. Schütz a,b,?, Fernando Pigeard de Almeida Prado c, Rosemary J. Harris d, Vladimir Belitsky e a Institut für Festk?rperforschung, Forschungszentrum Jülich, 52425 Jülich, Germany b Interdisziplin?res Zentrum für Komplexe Systeme, Universit?t Bonn, R?merstr. 164, 53117 Bonn, Germany c Departamento de Física e Matemática, FFCLRP, Universidade de S?o Paulo, 14040-901, Ribeir?o Preto, SP, Brazil d School of Mathematical Sciences, Queen Mary University of London, Mile End Road, London, E1 4NS, United Kingdom e Instituto de Matemática e Estatística, Universidade de S?o Paulo, Rua do Mat?o, 1010, CEP 05508-090, S?o Paulo, SP, Brazil article info Article history: Received 13 February 2009 Received in revised form 11 May 2009 Available online 21 June 2009 Keywords: Heterogeneous interacting-agent model Asset market Social interaction Collective behaviour Temporal fluctuations Price oscillations Exactly solvable model of an asset market abstract We introduce a stochastic heterogeneous interacting-agent model for the short-time nonequilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and individually heterogeneous fundamentalist trading decisions which take into account the market price and the perceived fundamental value of the asset. The resulting excess demand is coupled to the market price. Rigorous analysis reveals that this feedback may lead to price oscillations, a single bounce, or monotonic price behaviour. The model is a rare example of an analytically tractable interacting-agent model which allows us to deduce in detail the origin of these different collective patterns. For a natural choice of initial distribution, the results are in