Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents Export

@article{citeulike:3991497, abstract = {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 us 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.}, archivePrefix = {arXiv}, author = {Sch\&\#xfc;tz, Gunter M. and Fernando and Harris, Rosemary J. and Belitsky, Vladimir}, citeulike-article-id = {3991497}, citeulike-linkout-0 = {http://arxiv.org/abs/0801.0003}, citeulike-linkout-1 = {http://arxiv.org/pdf/0801.0003}, day = {28}, eprint = {0801.0003}, keywords = {agents, an, and, behaviour, demand, exactly, for, heterogeneous, interacting, market, model, of, price, short-time, solvable, through, viewed}, month = {Dec}, posted-at = {2009-06-21 10:26:25}, priority = {2}, title = {Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents}, url = {http://arxiv.org/abs/0801.0003}, year = {2007} }

TY - JOUR ID - citeulike:3991497 L3 - citeulike-article-id:3991497 N2 - 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 us 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. TI - Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents KW - agents KW - an KW - and KW - behaviour KW - demand KW - exactly KW - for KW - heterogeneous KW - interacting KW - market KW - model KW - of KW - price KW - short-time KW - solvable KW - through KW - viewed AU - Schütz, Gunter AU - Fernando AU - Harris, Rosemary AU - Belitsky, Vladimir PY - 2007/Dec/28/ UR - http://arxiv.org/abs/0801.0003 ER -