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

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

2007-12-28

arxiv.org/abs/0801.0003v2

Physica A 388 (2009) 4126-4144

Economy

Quantitative Finance

General Finance

26 pages, 3 figures. v2: minor alterations, to appear in Physica A (http://www.elsevier.com/wps/find/journaldescription.cws_ho

Scientific paper

10.1016/j.physa.2009.06.025

We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium 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 independent of the graph structure that models the peer network of agents whose decisions influence each other.

Affiliated with

Also associated with

No associations

Rating

Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-259191