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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
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
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

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