Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays

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In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who process information from the market with different time delays. Each class of investor is characterized by path dependent risk aversion. We also allow for the possibility of evolutionary switching between trend following and contrarian strategies. We find that the system shows periodic, quasi-periodic and chaotic dynamics as well as synchronization between technical traders. Furthermore, the model is able to generate time series of returns that exhibit statistical properties similar to those of the S&P500 index, which is characterized by excess kurtosis, volatility clustering and long memory
14 pages, 5 figures

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Data Analysis, Statistics and Probability, Pricing of Securities

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http://salesiana.dossiersoluciones.com/handle/123456789/210225

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/physics/0607276
 http://arxiv.org/abs/physics/0607276

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arXiv