Asset Price Dynamics among Heterogeneous Interacting Agents

被引：27
作者：
Carl Chiarella
Mauro Gallegati
Roberto Leombruni
Antonio Palestrini
机构：
[1] School of Finance and Economics, University of Technology, Sydney
[2] Department of Economics, University of Ancona
[3] Laboratorio R. Revelli, Torino
来源：
Computational Economics | 2003年 / 22卷 / 2-3期
关键词：
asset price dynamics; geneticalgorithms; rational herding;
D O I：
10.1023/A:1026137931041
中图分类号：
学科分类号：
摘要：
In this paper, we investigate the presence of rationalherding on asset price dynamics during the intra-day trading withheterogeneous interacting agents, whose information set is notcomplete. In the model, individual probability measures offinancial investment strategies are defined using statisticalmechanics concepts. In addition, there is a learning processtoward the best strategy, implemented as a geneticalgorithm. Simulations show that imitative behavior can be arational strategy, since it allows an investor to gain excessreturns on an asset by exploiting information regarding pricedynamics not strictly contained in the fundamental solution. Herdbehavior is rational in the sense that it produces profits at theexpense of increasing the complexity of the system. © 2003 Kluwer Academic Publishers.
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页码：213 / 223
页数：10
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