Show simple item record

2001-06-13Buch DOI: 10.18452/3558
Financial price fluctuations in a stock market model with many interacting agents
dc.contributor.authorHorst, Ulrich
dc.date.accessioned2017-06-15T21:23:01Z
dc.date.available2017-06-15T21:23:01Z
dc.date.created2005-10-12
dc.date.issued2001-06-13
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4210
dc.description.abstractWe consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their “neighbors" and on a random signal about the \mood of the market". We analyze the asymptotics of both aggregate behaviour and asset prices. We give sufficient conditions for the distribution of equilibrium prices to converge to a unique equilibrium, and provide a microeconomic foundation for the use of diffusion models in the analysis of financial price fluctuations.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectbehavioral financeeng
dc.subjectdiffusion modelseng
dc.subjectinteracting Markov chainseng
dc.subjectstochastic difference equationseng
dc.subject.ddc330 Wirtschaft
dc.titleFinancial price fluctuations in a stock market model with many interacting agents
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10049758
dc.identifier.doihttp://dx.doi.org/10.18452/3558
local.edoc.pages37
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2001
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber2001,36

Show simple item record