The DSpace digital repository system captures, stores, indexes, preserves, and distributes digital research material. http://http://dspace.unitus.it:80 2013-05-19T15:03:46Z 2013-05-19T15:03:46Z Garofalo, Giuseppe Sansone, Alessandro http://hdl.handle.net/2067/1588 2011-08-08T23:05:11Z 2006-12-31T23:00:00Z

Title: Asset price dynamics in a financial market with heterogeneous trading strategies and time delays Authors: Garofalo, Giuseppe; Sansone, Alessandro Abstract: 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 market information with different time delays. Each class of investors 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&P 500 index, which is characterized by excess kurtosis, volatility clustering and long memory. Description: L'articolo é disponibile sul sito dell'editore: http://www.sciencedirect.com

2006-12-31T23:00:00Z