912 resultados para Exactly solvable model of an asset market


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We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and individually heterogeneous fundamentalist trading decisions which take into account the market price and the perceived fundamental value of the asset. The resulting excess demand is coupled to the market price. Rigorous analysis reveals that this feedback may lead to price oscillations, a single bounce, or monotonic price behaviour. The model is a rare example of an analytically tractable interacting-agent model which allows LIS to deduce in detail the origin of these different collective patterns. For a natural choice of initial distribution, the results are independent of the graph structure that models the peer network of agents whose decisions influence each other. (C) 2009 Elsevier B.V. All rights reserved.

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We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of the system is grounded upon a heterogeneous interacting agent model for a single risky asset market. An advantage of this construction procedure is that the resulting dynamical system becomes a macroscopic market model which mirrors the market quantities and qualities that would typically be taken into account solely at the microscopic level of modeling. The system`s parameters correspond to: (a) the proportion of speculators in a market; (b) the traders` speculative trend; (c) the degree of heterogeneity of idiosyncratic evaluations of the market agents with respect to the asset`s fundamental value; and (d) the strength of the feedback of the population excess demand on the asset price update increment. This correspondence allows us to employ our results in order to infer plausible causes for the emergence of price and demand fluctuations in a real asset market. The employment of dynamical systems for studying evolution of stochastic models of socio-economic phenomena is quite usual in the area of heterogeneous interacting agent models. However, in the vast majority of the cases present in the literature, these dynamical systems are one-dimensional. Our work is among the few in the area that construct and study analytically a two-dimensional dynamical system and apply it for explanation of socio-economic phenomena.

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We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics. (c) 2005 Elsevier B.V. All rights reserved.

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We investigate knowledge exchange among commercial organizations, the rationale behind it, and its effects on the market. Knowledge exchange is known to be beneficial for industry, but in order to explain it, authors have used high-level concepts like network effects, reputation, and trust. We attempt to formalize a plausible and elegant explanation of how and why companies adopt information exchange and why it benefits the market as a whole when this happens. This explanation is based on a multiagent model that simulates a market of software providers. Even though the model does not include any high-level concepts, information exchange naturally emerges during simulations as a successful profitable behavior. The conclusions reached by this agent-based analysis are twofold: 1) a straightforward set of assumptions is enough to give rise to exchange in a software market, and 2) knowledge exchange is shown to increase the efficiency of the market.

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VTT Jouni Meriluodon valtio-opin alaan kuuluva väitöskirja Systems between information and knowledge : in a memory management model of an extended enterprise tarkastettiin 21.6.2011 Helsingin yliopistossa.

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An Eulerian multifluid model is used to describe the evolution of an electrospray plume and the flow induced in the surrounding gas by the drag of the electrically charged spray droplets in the space between an injection electrode containing the electrospray source and a collector electrode. The spray is driven by the voltage applied between the two electrodes. Numerical computations and order-of-magnitude estimates for a quiescent gas show that the droplets begin to fly back toward the injection electrode at a certain critical value of the flux of droplets in the spray, which depends very much on the electrical conditions at the injection electrode. As the flux is increased toward its critical value, the electric field induced by the charge of the droplets partially balances the field due to the applied voltage in the vicinity of the injection electrode, leading to a spray that rapidly broadens at a distance from its origin of the order of the stopping distance at which the droplets lose their initial momentum and the effect of their inertia becomes negligible. The axial component of the electric field first changes sign in this region, causing the fly back. The flow induced in the gas significantly changes this picture in the conditions of typical experiments. A gas plume is induced by the drag of the droplets whose entrainment makes the radius of the spray away from the injection electrode smaller than in a quiescent gas, and convects the droplets across the region of negative axial electric field that appears around the origin of the spray when the flux of droplets is increased. This suppresses fly back and allows much higher fluxes to be reached than are possible in a quiescent gas. The limit of large droplet-to-gas mass ratio is discussed. Migration of satellite droplets to the shroud of the spray is reproduced by the Eulerian model, but this process is also affected by the motion of the gas. The gas flow preferentially pushes satellite droplets from the shroud to the core of the spray when the effect of the inertia of the droplets becomes negligible, and thus opposes the well-established electrostatic/inertial mechanism of segregation and may end up concentrating satellite droplets in an intermediate radial region of the spray.

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no.1(1922)