On The Dynamic Behavior of Prices in Disequilibrium

Asset Price Dynamics When Behavioural Heterogeneity Varies

“…Our model is in line with a thread of literature focusing on agents who have heterogeneous assessments of the future values of relevant economic variables which can be traced back to Beja and Goldman (1980). Specifically we build on Day and Huang (1990) introducing a different baseline type of expectations mechanism which is a combination of trend-chasing and fundamentalist behaviour plus an inertia component taking an adaptive form.…”

A Heterogeneous Agent Model of Asset Price with Three Time Delays

“…Their relative magnitudes depend on the selected values of α i and thus there are many possibilities. Among them, we will limit analysis to only two cases, η 1 = η 2 > η 3 if α 1 < 1/2 and η 3 > η 1 = η 2 if α 1 < 1/2 since Assumption 4 makes η 1 = η 2 always 4 . With Assumption 4, f 1 (ω) = f 2 (ω) holds regardless of the value of α 1 .…”

“…On the other hand, continuoustime HAMs are also examined in various ways in which dynamics are described by ordinary or delay differential equations. They have a long history since Zeeman [3] and Beja and Goldman [4]. Moreover, Chiarella [5], which is a development of Beja and Goldman [4], shows that the market price tends to a stable limit cycle under a nonlinear demand function of the risky asset when the equilibrium is unstable.…”

“…They have a long history since Zeeman [3] and Beja and Goldman [4]. Moreover, Chiarella [5], which is a development of Beja and Goldman [4], shows that the market price tends to a stable limit cycle under a nonlinear demand function of the risky asset when the equilibrium is unstable. More recently, He and Zheng [6] reconstruct the discretetime model of Chiarella et al [2] in a continuous-time framework in which the expected price is formed with a moving average of the past (delay) prices.…”

Asset allocation and multivariate position based trading

“…My main contribution relative to his study and those by Lux and Marchesi consists in removing inconsistencies concerning traders inventories resulting from the order-based setup of their models. Both Lux and Westerhoff consider trading at disequilibrium prices in order-driven markets following the tradition initiated by Beja and Goldman (1980) and Day and Huang (1990). That is, traders place orders proportional to the expected profits of their investments, while a market maker adjusts prices proportional to net excess demand, filling any imbalances between demand and supply from his inventory.…”