Wealth Share Analysis with “FundamentalistChartist” Heterogeneous Agents
Joint Authors
Xu, Hai-Chuan
Zhang, Wei
Zhou, Wei-Xing
Xiong, Xiong
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-05-14
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Xu, Hai-Chuan& Zhang, Wei& Xiong, Xiong& Zhou, Wei-Xing. 2014. Wealth Share Analysis with “FundamentalistChartist” Heterogeneous Agents. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1013726
Modern Language Association (MLA)
Xu, Hai-Chuan…[et al.]. Wealth Share Analysis with “FundamentalistChartist” Heterogeneous Agents. Abstract and Applied Analysis No. 2014 (2014), pp.1-11.
https://search.emarefa.net/detail/BIM-1013726
American Medical Association (AMA)
Xu, Hai-Chuan& Zhang, Wei& Xiong, Xiong& Zhou, Wei-Xing. Wealth Share Analysis with “FundamentalistChartist” Heterogeneous Agents. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1013726
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013726