Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents
We build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility function. We verify that the model can reproduce the main stylized facts in real markets, such as fat-tailed return distributi...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/328498 |
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| _version_ | 1850177853246668800 |
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| author | Hai-Chuan Xu Wei Zhang Xiong Xiong Wei-Xing Zhou |
| author_facet | Hai-Chuan Xu Wei Zhang Xiong Xiong Wei-Xing Zhou |
| author_sort | Hai-Chuan Xu |
| collection | DOAJ |
| description | We build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility function. We verify that the model can reproduce the main stylized facts in real markets, such as fat-tailed return distribution and long-term memory in volatility. Based on the calibrated model, we study the impacts of the key strategies’ parameters on investors’ wealth shares. We find that, as chartists’ exponential moving average periods increase, their wealth shares also show an increasing trend. This means that higher memory length can help to improve their wealth shares. This effect saturates when the exponential moving average periods are sufficiently long. On the other hand, the mean reversion parameter has no obvious impacts on wealth shares of either type of traders. It suggests that no matter whether fundamentalists take moderate strategy or aggressive strategy on the mistake of stock prices, it will have no different impact on their wealth shares in the long run. |
| format | Article |
| id | doaj-art-bd1d543dbb744f0fbe5b16120deef45f |
| institution | OA Journals |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-bd1d543dbb744f0fbe5b16120deef45f2025-08-20T02:18:54ZengWileyAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/328498328498Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous AgentsHai-Chuan Xu0Wei Zhang1Xiong Xiong2Wei-Xing Zhou3Collage of Management and Economics, Tianjin University, Tianjin 300072, ChinaCollage of Management and Economics, Tianjin University, Tianjin 300072, ChinaCollage of Management and Economics, Tianjin University, Tianjin 300072, ChinaSchool of Business, East China University of Science and Technology, Shanghai 200237, ChinaWe build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility function. We verify that the model can reproduce the main stylized facts in real markets, such as fat-tailed return distribution and long-term memory in volatility. Based on the calibrated model, we study the impacts of the key strategies’ parameters on investors’ wealth shares. We find that, as chartists’ exponential moving average periods increase, their wealth shares also show an increasing trend. This means that higher memory length can help to improve their wealth shares. This effect saturates when the exponential moving average periods are sufficiently long. On the other hand, the mean reversion parameter has no obvious impacts on wealth shares of either type of traders. It suggests that no matter whether fundamentalists take moderate strategy or aggressive strategy on the mistake of stock prices, it will have no different impact on their wealth shares in the long run.http://dx.doi.org/10.1155/2014/328498 |
| spellingShingle | Hai-Chuan Xu Wei Zhang Xiong Xiong Wei-Xing Zhou Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents Abstract and Applied Analysis |
| title | Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents |
| title_full | Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents |
| title_fullStr | Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents |
| title_full_unstemmed | Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents |
| title_short | Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents |
| title_sort | wealth share analysis with fundamentalist chartist heterogeneous agents |
| url | http://dx.doi.org/10.1155/2014/328498 |
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