DSpace Unitus DSpace

Unitus DSpace >
Dipartimento di Economia e Impresa >
DEIM - Archivio della produzione scientifica >

Please use this identifier to cite or link to this item: http://hdl.handle.net/2067/1588

Title: Asset price dynamics in a financial market with heterogeneous trading strategies and time delays
Authors: Garofalo, Giuseppe
Sansone, Alessandro
Keywords: Dynamic asset pricing
Heterogeneous agents
Complex dynamics
Chaos
Stock market dynamics
Issue Date: 2007
Publisher: Elsevier
Citation: Sansone A., Garofalo G. 2007. Asset price dynamics in a financial market with heterogeneous trading strategies and time delays. "Physica A: Statistical Mechanics and its Applications" 382 (1): 247-257
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 t
...more
Description: L'articolo é disponibile sul sito dell'editore: http://www.sciencedirect.com
DOI: 10.1016/j.physa.2007.02.022
URI: http://hdl.handle.net/2067/1588
ISSN: 0378-4371
Appears in Collections:DEIM - Archivio della produzione scientifica

Files in This Item:

File Description SizeFormat
1588Physica A.pdf105.59 kBAdobe PDFView/Open


This item is protected by original copyright

Recommend this item

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

 

Valid XHTML 1.0! Unitus DSpace  © 2005 Università degli Studi della Tuscia - Feedback