A heterogeneous agent model of asset price dynamics with two time delays View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2018-11

AUTHORS

Luca Guerrini, Akio Matsumoto, Ferenc Szidarovszky

ABSTRACT

This study constructs a heterogeneous agents model of a financial market in a continuous-time framework. There are two types of agents, fundamentalists and chartists. The former follows the traditional efficiency market theory and has a linear demand function, whereas the latter experiences delays in the formation of price trends and possesses a S-shaped demand function. The main feature of this study is a theoretical investigation on the effects caused by two time delays in a price adjustment process. In particular, two main results are demonstrated: One is that the stability switching curves are analytically derived, and the other is that the stability losses and gains can repeatedly occur when the shape of the curves are meandering. Although it is well known that a time delay has a destabilizing effect, these results imply that multiple delays can stabilize and destabilize a market price generating persistent deviations from the stationary price. More... »

PAGES

1-19

References to SciGraph publications

  • 1992-12. The dynamics of speculative behaviour in ANNALS OF OPERATIONS RESEARCH
  • 2010. Global Hopf Bifurcation Analysis for a Time-Delayed Model of Asset Prices in DISCRETE DYNAMICS IN NATURE AND SOCIETY
  • Journal

    TITLE

    Decisions in Economics and Finance

    ISSUE

    N/A

    VOLUME

    N/A

    From Grant

  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/s10203-018-0223-2

    DOI

    http://dx.doi.org/10.1007/s10203-018-0223-2

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1110131621


    Indexing Status Check whether this publication has been indexed by Scopus and Web Of Science using the SN Indexing Status Tool
    Incoming Citations Browse incoming citations for this publication using opencitations.net

    JSON-LD is the canonical representation for SciGraph data.

    TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT

    [
      {
        "@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json", 
        "about": [
          {
            "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/1402", 
            "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
            "name": "Applied Economics", 
            "type": "DefinedTerm"
          }, 
          {
            "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/14", 
            "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
            "name": "Economics", 
            "type": "DefinedTerm"
          }
        ], 
        "author": [
          {
            "affiliation": {
              "alternateName": "Marche Polytechnic University", 
              "id": "https://www.grid.ac/institutes/grid.7010.6", 
              "name": [
                "Polytechnic University of Marche, Ancona, Italy"
              ], 
              "type": "Organization"
            }, 
            "familyName": "Guerrini", 
            "givenName": "Luca", 
            "id": "sg:person.010012726774.88", 
            "sameAs": [
              "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.010012726774.88"
            ], 
            "type": "Person"
          }, 
          {
            "affiliation": {
              "alternateName": "Chuo University", 
              "id": "https://www.grid.ac/institutes/grid.443595.a", 
              "name": [
                "Chuo University, Hachioji, Tokyo, Japan"
              ], 
              "type": "Organization"
            }, 
            "familyName": "Matsumoto", 
            "givenName": "Akio", 
            "id": "sg:person.014176754247.96", 
            "sameAs": [
              "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.014176754247.96"
            ], 
            "type": "Person"
          }, 
          {
            "affiliation": {
              "name": [
                "Corvinus University, Budapest, Hungary"
              ], 
              "type": "Organization"
            }, 
            "familyName": "Szidarovszky", 
            "givenName": "Ferenc", 
            "id": "sg:person.013352405625.49", 
            "sameAs": [
              "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.013352405625.49"
            ], 
            "type": "Person"
          }
        ], 
        "citation": [
          {
            "id": "https://doi.org/10.1016/0167-2681(90)90061-h", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1004556748"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1016/j.physa.2007.02.007", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1007041440"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1155/2016/4907468", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1009847920"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "sg:pub.10.1007/bf02071051", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1010604373", 
              "https://doi.org/10.1007/bf02071051"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "sg:pub.10.1007/bf02071051", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1010604373", 
              "https://doi.org/10.1007/bf02071051"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1016/j.jedc.2005.08.014", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1011225369"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1111/j.1540-6261.1980.tb02151.x", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1012199223"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1016/j.jedc.2012.02.002", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1021625713"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1006/reec.1997.0157", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1031680378"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1108/ijrdm-08-2015-0126", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1031772998"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1016/j.jmaa.2005.02.034", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1032107439"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1016/j.jedc.2005.10.011", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1035778221"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "sg:pub.10.1155/2010/432821", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1036509182", 
              "https://doi.org/10.1155/2010/432821"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1016/j.econmod.2009.07.016", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1040807684"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1016/j.jebo.2010.08.005", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1043604959"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1016/j.physa.2005.02.084", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1046093728"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.1017/s1365100501019058", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1054018534"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "https://doi.org/10.2307/2171879", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1069804401"
            ], 
            "type": "CreativeWork"
          }
        ], 
        "datePublished": "2018-11", 
        "datePublishedReg": "2018-11-01", 
        "description": "This study constructs a heterogeneous agents model of a financial market in a continuous-time framework. There are two types of agents, fundamentalists and chartists. The former follows the traditional efficiency market theory and has a linear demand function, whereas the latter experiences delays in the formation of price trends and possesses a S-shaped demand function. The main feature of this study is a theoretical investigation on the effects caused by two time delays in a price adjustment process. In particular, two main results are demonstrated: One is that the stability switching curves are analytically derived, and the other is that the stability losses and gains can repeatedly occur when the shape of the curves are meandering. Although it is well known that a time delay has a destabilizing effect, these results imply that multiple delays can stabilize and destabilize a market price generating persistent deviations from the stationary price.", 
        "genre": "research_article", 
        "id": "sg:pub.10.1007/s10203-018-0223-2", 
        "inLanguage": [
          "en"
        ], 
        "isAccessibleForFree": false, 
        "isFundedItemOf": [
          {
            "id": "sg:grant.5912497", 
            "type": "MonetaryGrant"
          }
        ], 
        "isPartOf": [
          {
            "id": "sg:journal.1313765", 
            "issn": [
              "1129-6569", 
              "1593-8883"
            ], 
            "name": "Decisions in Economics and Finance", 
            "type": "Periodical"
          }
        ], 
        "name": "A heterogeneous agent model of asset price dynamics with two time delays", 
        "pagination": "1-19", 
        "productId": [
          {
            "name": "readcube_id", 
            "type": "PropertyValue", 
            "value": [
              "dfe0067c67290310de3a2a3a6ef9780aec163fd1b2f01b45b012af11a116dc1c"
            ]
          }, 
          {
            "name": "doi", 
            "type": "PropertyValue", 
            "value": [
              "10.1007/s10203-018-0223-2"
            ]
          }, 
          {
            "name": "dimensions_id", 
            "type": "PropertyValue", 
            "value": [
              "pub.1110131621"
            ]
          }
        ], 
        "sameAs": [
          "https://doi.org/10.1007/s10203-018-0223-2", 
          "https://app.dimensions.ai/details/publication/pub.1110131621"
        ], 
        "sdDataset": "articles", 
        "sdDatePublished": "2019-04-11T08:12", 
        "sdLicense": "https://scigraph.springernature.com/explorer/license/", 
        "sdPublisher": {
          "name": "Springer Nature - SN SciGraph project", 
          "type": "Organization"
        }, 
        "sdSource": "s3://com-uberresearch-data-dimensions-target-20181106-alternative/cleanup/v134/2549eaecd7973599484d7c17b260dba0a4ecb94b/merge/v9/a6c9fde33151104705d4d7ff012ea9563521a3ce/jats-lookup/v90/0000000270_0000000270/records_9696_00000000.jsonl", 
        "type": "ScholarlyArticle", 
        "url": "https://link.springer.com/10.1007%2Fs10203-018-0223-2"
      }
    ]
     

    Download the RDF metadata as:  json-ld nt turtle xml License info

    HOW TO GET THIS DATA PROGRAMMATICALLY:

    JSON-LD is a popular format for linked data which is fully compatible with JSON.

    curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1007/s10203-018-0223-2'

    N-Triples is a line-based linked data format ideal for batch operations.

    curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1007/s10203-018-0223-2'

    Turtle is a human-readable linked data format.

    curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1007/s10203-018-0223-2'

    RDF/XML is a standard XML format for linked data.

    curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1007/s10203-018-0223-2'


     

    This table displays all metadata directly associated to this object as RDF triples.

    129 TRIPLES      21 PREDICATES      42 URIs      17 LITERALS      5 BLANK NODES

    Subject Predicate Object
    1 sg:pub.10.1007/s10203-018-0223-2 schema:about anzsrc-for:14
    2 anzsrc-for:1402
    3 schema:author Nf711a87066574c299920c22676effbd9
    4 schema:citation sg:pub.10.1007/bf02071051
    5 sg:pub.10.1155/2010/432821
    6 https://doi.org/10.1006/reec.1997.0157
    7 https://doi.org/10.1016/0167-2681(90)90061-h
    8 https://doi.org/10.1016/j.econmod.2009.07.016
    9 https://doi.org/10.1016/j.jebo.2010.08.005
    10 https://doi.org/10.1016/j.jedc.2005.08.014
    11 https://doi.org/10.1016/j.jedc.2005.10.011
    12 https://doi.org/10.1016/j.jedc.2012.02.002
    13 https://doi.org/10.1016/j.jmaa.2005.02.034
    14 https://doi.org/10.1016/j.physa.2005.02.084
    15 https://doi.org/10.1016/j.physa.2007.02.007
    16 https://doi.org/10.1017/s1365100501019058
    17 https://doi.org/10.1108/ijrdm-08-2015-0126
    18 https://doi.org/10.1111/j.1540-6261.1980.tb02151.x
    19 https://doi.org/10.1155/2016/4907468
    20 https://doi.org/10.2307/2171879
    21 schema:datePublished 2018-11
    22 schema:datePublishedReg 2018-11-01
    23 schema:description This study constructs a heterogeneous agents model of a financial market in a continuous-time framework. There are two types of agents, fundamentalists and chartists. The former follows the traditional efficiency market theory and has a linear demand function, whereas the latter experiences delays in the formation of price trends and possesses a S-shaped demand function. The main feature of this study is a theoretical investigation on the effects caused by two time delays in a price adjustment process. In particular, two main results are demonstrated: One is that the stability switching curves are analytically derived, and the other is that the stability losses and gains can repeatedly occur when the shape of the curves are meandering. Although it is well known that a time delay has a destabilizing effect, these results imply that multiple delays can stabilize and destabilize a market price generating persistent deviations from the stationary price.
    24 schema:genre research_article
    25 schema:inLanguage en
    26 schema:isAccessibleForFree false
    27 schema:isPartOf sg:journal.1313765
    28 schema:name A heterogeneous agent model of asset price dynamics with two time delays
    29 schema:pagination 1-19
    30 schema:productId N6b2ddc657f7c4fafa6b17bcac41602ae
    31 Nd820863af78e4d9bbf3f04fb3ed2327d
    32 Nd82fb78dcb014c1199df4f07ce3641d2
    33 schema:sameAs https://app.dimensions.ai/details/publication/pub.1110131621
    34 https://doi.org/10.1007/s10203-018-0223-2
    35 schema:sdDatePublished 2019-04-11T08:12
    36 schema:sdLicense https://scigraph.springernature.com/explorer/license/
    37 schema:sdPublisher Nddc273dd463d466f82daff22f09a295d
    38 schema:url https://link.springer.com/10.1007%2Fs10203-018-0223-2
    39 sgo:license sg:explorer/license/
    40 sgo:sdDataset articles
    41 rdf:type schema:ScholarlyArticle
    42 N2cefc147c1344cc881f20c2d54fb8b90 rdf:first sg:person.014176754247.96
    43 rdf:rest N9bdddde8f1804445a55552901e560a40
    44 N4e135ddce6084cfe84379d7b1fcb53a7 schema:name Corvinus University, Budapest, Hungary
    45 rdf:type schema:Organization
    46 N6b2ddc657f7c4fafa6b17bcac41602ae schema:name readcube_id
    47 schema:value dfe0067c67290310de3a2a3a6ef9780aec163fd1b2f01b45b012af11a116dc1c
    48 rdf:type schema:PropertyValue
    49 N9bdddde8f1804445a55552901e560a40 rdf:first sg:person.013352405625.49
    50 rdf:rest rdf:nil
    51 Nd820863af78e4d9bbf3f04fb3ed2327d schema:name doi
    52 schema:value 10.1007/s10203-018-0223-2
    53 rdf:type schema:PropertyValue
    54 Nd82fb78dcb014c1199df4f07ce3641d2 schema:name dimensions_id
    55 schema:value pub.1110131621
    56 rdf:type schema:PropertyValue
    57 Nddc273dd463d466f82daff22f09a295d schema:name Springer Nature - SN SciGraph project
    58 rdf:type schema:Organization
    59 Nf711a87066574c299920c22676effbd9 rdf:first sg:person.010012726774.88
    60 rdf:rest N2cefc147c1344cc881f20c2d54fb8b90
    61 anzsrc-for:14 schema:inDefinedTermSet anzsrc-for:
    62 schema:name Economics
    63 rdf:type schema:DefinedTerm
    64 anzsrc-for:1402 schema:inDefinedTermSet anzsrc-for:
    65 schema:name Applied Economics
    66 rdf:type schema:DefinedTerm
    67 sg:grant.5912497 http://pending.schema.org/fundedItem sg:pub.10.1007/s10203-018-0223-2
    68 rdf:type schema:MonetaryGrant
    69 sg:journal.1313765 schema:issn 1129-6569
    70 1593-8883
    71 schema:name Decisions in Economics and Finance
    72 rdf:type schema:Periodical
    73 sg:person.010012726774.88 schema:affiliation https://www.grid.ac/institutes/grid.7010.6
    74 schema:familyName Guerrini
    75 schema:givenName Luca
    76 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.010012726774.88
    77 rdf:type schema:Person
    78 sg:person.013352405625.49 schema:affiliation N4e135ddce6084cfe84379d7b1fcb53a7
    79 schema:familyName Szidarovszky
    80 schema:givenName Ferenc
    81 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.013352405625.49
    82 rdf:type schema:Person
    83 sg:person.014176754247.96 schema:affiliation https://www.grid.ac/institutes/grid.443595.a
    84 schema:familyName Matsumoto
    85 schema:givenName Akio
    86 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.014176754247.96
    87 rdf:type schema:Person
    88 sg:pub.10.1007/bf02071051 schema:sameAs https://app.dimensions.ai/details/publication/pub.1010604373
    89 https://doi.org/10.1007/bf02071051
    90 rdf:type schema:CreativeWork
    91 sg:pub.10.1155/2010/432821 schema:sameAs https://app.dimensions.ai/details/publication/pub.1036509182
    92 https://doi.org/10.1155/2010/432821
    93 rdf:type schema:CreativeWork
    94 https://doi.org/10.1006/reec.1997.0157 schema:sameAs https://app.dimensions.ai/details/publication/pub.1031680378
    95 rdf:type schema:CreativeWork
    96 https://doi.org/10.1016/0167-2681(90)90061-h schema:sameAs https://app.dimensions.ai/details/publication/pub.1004556748
    97 rdf:type schema:CreativeWork
    98 https://doi.org/10.1016/j.econmod.2009.07.016 schema:sameAs https://app.dimensions.ai/details/publication/pub.1040807684
    99 rdf:type schema:CreativeWork
    100 https://doi.org/10.1016/j.jebo.2010.08.005 schema:sameAs https://app.dimensions.ai/details/publication/pub.1043604959
    101 rdf:type schema:CreativeWork
    102 https://doi.org/10.1016/j.jedc.2005.08.014 schema:sameAs https://app.dimensions.ai/details/publication/pub.1011225369
    103 rdf:type schema:CreativeWork
    104 https://doi.org/10.1016/j.jedc.2005.10.011 schema:sameAs https://app.dimensions.ai/details/publication/pub.1035778221
    105 rdf:type schema:CreativeWork
    106 https://doi.org/10.1016/j.jedc.2012.02.002 schema:sameAs https://app.dimensions.ai/details/publication/pub.1021625713
    107 rdf:type schema:CreativeWork
    108 https://doi.org/10.1016/j.jmaa.2005.02.034 schema:sameAs https://app.dimensions.ai/details/publication/pub.1032107439
    109 rdf:type schema:CreativeWork
    110 https://doi.org/10.1016/j.physa.2005.02.084 schema:sameAs https://app.dimensions.ai/details/publication/pub.1046093728
    111 rdf:type schema:CreativeWork
    112 https://doi.org/10.1016/j.physa.2007.02.007 schema:sameAs https://app.dimensions.ai/details/publication/pub.1007041440
    113 rdf:type schema:CreativeWork
    114 https://doi.org/10.1017/s1365100501019058 schema:sameAs https://app.dimensions.ai/details/publication/pub.1054018534
    115 rdf:type schema:CreativeWork
    116 https://doi.org/10.1108/ijrdm-08-2015-0126 schema:sameAs https://app.dimensions.ai/details/publication/pub.1031772998
    117 rdf:type schema:CreativeWork
    118 https://doi.org/10.1111/j.1540-6261.1980.tb02151.x schema:sameAs https://app.dimensions.ai/details/publication/pub.1012199223
    119 rdf:type schema:CreativeWork
    120 https://doi.org/10.1155/2016/4907468 schema:sameAs https://app.dimensions.ai/details/publication/pub.1009847920
    121 rdf:type schema:CreativeWork
    122 https://doi.org/10.2307/2171879 schema:sameAs https://app.dimensions.ai/details/publication/pub.1069804401
    123 rdf:type schema:CreativeWork
    124 https://www.grid.ac/institutes/grid.443595.a schema:alternateName Chuo University
    125 schema:name Chuo University, Hachioji, Tokyo, Japan
    126 rdf:type schema:Organization
    127 https://www.grid.ac/institutes/grid.7010.6 schema:alternateName Marche Polytechnic University
    128 schema:name Polytechnic University of Marche, Ancona, Italy
    129 rdf:type schema:Organization
     




    Preview window. Press ESC to close (or click here)


    ...