Emergent volatility in asset markets with heterogeneous agents
This paper examines the emergence of complex volatility in dynamic asset markets when there are heterogeneous agents. A discrete formulation is studied with two categories of market participants, fundamentalist traders who buy when the asset price is below the fundamental value and sell when it is a...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2001-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1155/S1026022601000188 |
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