Essays on Heterogeneous-Agent Models of Financial Markets
| Autor: | Chung-Chih Liao, 廖崇智 |
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| Rok vydání: | 2017 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 105 Traditional economics achieved fruitful results in constructions of economic theories through modeling methods such as representative agent, Homo economicus and rational expectations. The advantages of such kind of methods are the ease in mathematical deduction and analysis, the existence of a certain degree of explanatory ability of the real-world economic phenomenon, and the provision of critical insights to the modelers. However, continuous ignorance of the bounded rationality and heterogeneity and learning and adapting behaviors of human beings in the modeling process will lead to the lacking of essential elements of economic models including interactions, coordination and environment feedbacks. These types of models run short in explaining, for example, anomalies in financial markets. Recently, paradigm shifts have emerged in economics and finance, where models with heterogeneous-agent models with boundedly rational agents have become mainstream in discussing how behaviors of learning, adapting, interacting and coordinating produce macro phenomena similar to that in the real world. Here we adopt three different types of heterogeneous-agent models to model and analyze financial markets, which are the analytical approach, the empirically based approach and the simulation approach. In the first essay, we introduce informed rational speculators, momentum traders and contrarian traders into a simple stock market model and use analytical approach to analyze how trading behaviors of each kind of traders affect stock prices, and also analyze the profitability of the three types of heterogeneous traders under different sets of parameters. In the second essay we consider a stock market with two stocks existing. We use empirical data from Taiwan Stock Exchange (TWSE) and let electronics sector index TRI and non-finance non-electronics sub-index TRI represent two different styles of stocks, and we use a modeling method of empirically based adaptive be- lief system to observe the evolution of market fractions of fundamental traders, technical traders and switchers, and look into the possible relationship between style investing behaviors and sector rotation. In the third essay we use the AIE-ASM software to simulate an artificial stock market, in which GP-based heterogeneous autonomous traders exist. We observe the stock price-volume relation in the artificial stock market and compare that to the real stock market, and finally look into the micro-macro relation between individual trading behaviors and the macro phenomena in the artificial stock market. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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