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Author : Jean Paul Theler
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (933 download)
Download or read book Asset Pricing and Trading Volume in Heterogeneous Agent Models with Incomplete Markets written by Jean Paul Theler and published by . This book was released on 1994 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jean-Paul Theler
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book Asset Pricing and Trading Volume in Heterogenous Agent Models with Incomplete Markets written by Jean-Paul Theler and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jean-Paul Theler
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book Asset Pricing and Trading Volumen in Heterogeneous Agent Models with Incomplete Markets written by Jean-Paul Theler and published by . This book was released on 1994 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yuanying Guan
Publisher :
ISBN 13 :
Total Pages : 104 pages
Book Rating : 4.:/5 (767 download)
Download or read book Asset Market Dynamics of Heterogeneous Agent Models with Learning written by Yuanying Guan and published by . This book was released on 2011 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: The standard Lucas asset pricing model makes two common assumptions of homogeneous agents and rational expectations equilibrium. However, these assumptions are unrealistic for real financial markets. In this work, we relax these assumptions and establish a Lucas type agent-based asset pricing model. We create an artificial economy with a single risky asset and populate it with heterogeneous, boundedly rational, utility maximizing, infinitely lived and forward looking agents. We restrict agents' information by allowing them to use only available information when they make optimal choices. With independent, identically distributed market returns, agents are able to compute their policy functions and the equilibrium pricing function with Duffie's method (Duffie, 1988) without perfect information about the market. When agents are out of equilibrium, they simultaneously compute their policy functions with predictive pricing functions and use adaptive learning schemes to learn the motion of the correct pricing function. Agents are able to learn the correct equilibrium pricing function with certain risk and learning parameters. In some other cases, the market price has excess volatility and the trading volume is very high. Simulations of the market behavior show rich dynamics, including a whole cascade from period doubling bifurcations to chaos. We apply the full families theory (De Melo and Van Strien, 1993) to prove that the rich dynamics do not come from numerical errors but are embedded in the structure of our dynamical system.
Author : Kenneth L. Judd
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents written by Kenneth L. Judd and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading volume of infinitely lived securities, such as equity, is generically zero in Lucas asset pricing models with heterogeneous agents. More generally, the end-of-period portfolio of all securities is constant over time and states in the generic economy. General equilibrium restrictions rule out trading of equity after an initial period. This result contrasts the prediction of portfolio allocation analyses that portfolio rebalancing motives produce nontrivial trade volume. Therefore, other causes of trade must be present in asset markets with large trading volume.
Author : Min Zheng
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (13 download)
Download or read book Long Memory in Financial Markets written by Min Zheng and published by . This book was released on 2018 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: During last decades, studies on asset pricing models witnessed a paradigm shift from rational expectation and representative agent to an alternative, behavioral view, where agents are heterogeneous and boundedly rational. In this paper, we model the financial market as an interaction of two types of boundedly rational investors -fundamentalists and chartists. We examine the dynamics of the market price and market behavior, which depend on investors' behavior and the interaction of the two types of investors. Numerical simulations of the corresponding stochastic model demonstrate that the model is able to replicate the stylized facts of financial time series, in particular the long-term dependence (long memory) of asset return volatilities. We further investigate the source of the long memory according to asset pricing mechanism of our model, and provide evidences of long memory by applying the modified R/S analysis. Our results demonstrate that the key parameter that has impact on the long memory is the speed of the price adjustment of the market maker at the equilibrium of demand and supply.
Author : Francisco Gomes
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Asset Pricing with Limited Risk Sharing and Heterogeneous Agents written by Francisco Gomes and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a model with incomplete markets and heterogeneous agents that generates a large equity premium, while simultaneously matching stock market participation and individual asset holdings. The high risk-premium is driven by incomplete risk sharing among stockholders, which results from the combination of aggregate uncertainty, borrowing constraints, and a (realistically) calibrated life-cycle earnings profile subject to idiosyncratic shocks. We show that it is challenging to simultaneously match asset pricing moments and individual portfolio decisions, while limited participation has a negligible impact on the risk-premium, contrary to the results of models where it is imposed exogenously.
Author : Andrew Wen-Chuan Lo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (671 download)
Download or read book Trading volume : implications of an intertemporal capital asset pricing model written by Andrew Wen-Chuan Lo and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Emmanuel Jurczenko
Publisher : Wiley
ISBN 13 : 0470057998
Total Pages : 258 pages
Book Rating : 4.4/5 (7 download)
Download or read book Multi-moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by Wiley. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
Author : Weiyang Qiu (Ph. D.)
Publisher :
ISBN 13 :
Total Pages : 176 pages
Book Rating : 4.:/5 (624 download)
Download or read book Essays in Asset Pricing and Market Imperfections written by Weiyang Qiu (Ph. D.) and published by . This book was released on 2010 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: (cont.) The third part of the thesis studies asset pricing under heterogeneous information. In an asset market where agents have heterogeneous information, asset prices not only depend their expectations of the true fundamentals but also depend on their expectations of the expectations of others. Iterations of such expectations lead to the so-called "infinite regress" problem, which makes the analysis of asset pricing under heterogeneous information challenging. In this part, we solve the infinite-regress problem in a simple economic setting under a fairly general information structure. This allows us to examine how different forms of information heterogeneity impacts the behavior of asset prices, their return dynamics, trading volume as well as agents' welfare.
Author : Andrew W. Lo
Publisher :
ISBN 13 :
Total Pages : 75 pages
Book Rating : 4.:/5 (248 download)
Download or read book Asset Prices and Trading Volume Under Fixed Transactions Costs written by Andrew W. Lo and published by . This book was released on 2001 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a dynamic equilibrium model of asset prices and trading volume with heterogeneous agents facing fixed transactions costs. We show that even small fixed costs can give rise to large 'no-trade' regions for each agent's optimal trading policy and a significant illiquidity discount in asset prices. We perform a calibration exercise to illustrate the empirical relevance of our model for aggregate data. Our model also has implications for the dynamics of order flow, bid/ask spreads, market depth, the allocation of trading costs between buyers and sellers, and other aspects of market microstructure, including a square-root power law between trading volume and fixed costs which we confirm using historical US stock market data from 1993 to 1997
Author : Yoshikiyo Sakai
Publisher :
ISBN 13 :
Total Pages : 226 pages
Book Rating : 4.:/5 (319 download)
Download or read book An Asset-pricing Model with Incomplete Trading Opportunities written by Yoshikiyo Sakai and published by . This book was released on 1986 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew James Culham
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (173 download)
Download or read book Asset Pricing in a Lucas Framework with Boundedly Rational, Heterogeneous Agents written by Andrew James Culham and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: The standard dynamic general equilibrium model of financial markets does a poor job of explaining the empirical facts observed in real market data. The common assumptions of homogeneous investors and rational expectations equilibrium are thought to be major factors leading to this poor performance. In an attempt to relax these assumptions, the literature has seen the emergence of agent-based computational models where artificial economies are populated with agents who trade in stylized asset markets. Although they offer a great deal of flexibility, the theoretical community has often criticized these agent-based models because the agents are too limited in their analytical abilities.
Author : Christopher A. Sims
Publisher : Cambridge University Press
ISBN 13 : 9780521566094
Total Pages : 434 pages
Book Rating : 4.5/5 (66 download)
Download or read book Advances in Econometrics: Volume 2 written by Christopher A. Sims and published by Cambridge University Press. This book was released on 1996-03-07 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 1994 two-volume set of articles reflects the state of research in theoretical and applied econometrics. The topics covered include time series methods, semiparametric methods, seasonality, financial economics, model solution techniques, economic development and labour economics.
Author : Andrew W. Lo
Publisher :
ISBN 13 :
Total Pages : 78 pages
Book Rating : 4.:/5 (129 download)
Download or read book Asset Prices and Trading Volume Under Fixed Transactions Costs written by Andrew W. Lo and published by . This book was released on 2009 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a dynamic equilibrium model of asset prices and trading volume with heterogeneous agents fixed transactions costs. We show that even small fixed costs can give rise to large quot;no-tradequot; regions for each agent's optimal trading policy and a significant illiquidity discount in asset prices. We perform a calibration exercise to illustrate the empirical relevance of our model for aggregate data. Our model also has implications for the dynamics of order flow, bid/ask spreads, market depth, the allocation of trading costs between buyers and sellers, and other aspects of market microstructure, including a square-root power law between trading volume and fixed costs which we confirm using historical US stock market data from 1993 to 1997.
Author : Karl Schmedders
Publisher : Newnes
ISBN 13 : 0080931782
Total Pages : 680 pages
Book Rating : 4.0/5 (89 download)
Download or read book Handbook of Computational Economics written by Karl Schmedders and published by Newnes. This book was released on 2013-12-31 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Computational Economics summarizes recent advances in economic thought, revealing some of the potential offered by modern computational methods. With computational power increasing in hardware and algorithms, many economists are closing the gap between economic practice and the frontiers of computational mathematics. In their efforts to accelerate the incorporation of computational power into mainstream research, contributors to this volume update the improvements in algorithms that have sharpened econometric tools, solution methods for dynamic optimization and equilibrium models, and applications to public finance, macroeconomics, and auctions. They also cover the switch to massive parallelism in the creation of more powerful computers, with advances in the development of high-power and high-throughput computing. Much more can be done to expand the value of computational modeling in economics. In conjunction with volume one (1996) and volume two (2006), this volume offers a remarkable picture of the recent development of economics as a science as well as an exciting preview of its future potential. - Samples different styles and approaches, reflecting the breadth of computational economics as practiced today - Focuses on problems with few well-developed solutions in the literature of other disciplines - Emphasizes the potential for increasing the value of computational modeling in economics
Author : Eric M. Aldrich
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Trading Volume in General Equilibrium with Complete Markets written by Eric M. Aldrich and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates asset trade in a general-equilibrium complete-markets endowment economy with heterogeneous agents. It shows that standard no-trade results cease to hold when agents have heterogeneous beliefs and that substantial trade volume is generated, even in the presence of a spanning set of assets. Further, trade volume and price movements have a positive relationship in the model, as is well documented in the empirical literature. This paper also develops a computational algorithm for solving finite-period heterogeneous-beliefs economies and demonstrates how the problem is well suited for large-scale parallel computing methods, such as GPU computing.
