Equilibria in financial markets with heterogeneous agents:: a probabilistic perspective

被引:74
作者
Föllmer, H
Horst, U
Kirman, A
机构
[1] Humboldt Univ, Inst Math, D-10099 Berlin, Germany
[2] Univ Aix Marseille 3, EHSS, Inst Univ France, F-13002 Marseille, France
基金
美国国家科学基金会;
关键词
financial markets; stochastic price processes; limit distributions; forecasting rules;
D O I
10.1016/j.jmateco.2004.08.001
中图分类号
F [经济];
学科分类号
02 ;
摘要
We analyse financial market models in which agents form their demand for an asset on the basis of their forecasts of future prices and where their forecasting rules may change over time, as a result of the influence of other traders. Agents will switch from one rule to another stochastically, and the price and profits process will reflect these switches. Among the possible rules are "chartist" or extrapolatory rules. Prices can exhibit transient behaviour when chartists predominate. However, if the probability that an agent will switch to being a "chartist" is not too high then the process does not explode. There are occasional bubbles but they inevitably burst. In fact, we prove that the limit distribution of the price process exists and is unique. This limit distribution may be thought of as the appropriate equilibrium notion for such markets. A number of characteristics of financial time series can be captured by this sort of model. In particular, the presence of chartists fattens the tails of the stationary distribution. (c) 2004 Elsevier B.V. All rights reserved.
引用
收藏
页码:123 / 155
页数:33
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