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- W636771061 abstract "This study constructs a heterogeneous agents model of a nancial market in continuous time framework. There are two types of agents, fundamentalists and chartists. The former follow the traditional e¢ ciency market theory and have a linear demand function whereas the latter experience delays in the formation of price trends and possess a S-shaped demand function. The main feature of this study is a theoretical investigation on the e¤ects caused by two time delays in a price adjustment process. In particular, two main results are demonstrated: one is that the stability switching curves are analytically derived and the other is that the stability losses and gains can repeatedly occur when the shape of the curves are meandering. These imply that multiple delays might generate price deviations from the equilibrium value. Keywords: Heterogeneous agents model, Two time delays, Limit cycle, Hopf bifurcation, Stability switching curve The authors highly appreciate the nancial supports from the MEXT-Supported Program for the Strategic Research Foundation at Private Universities 2013-2017, the Japan Society for the Promotion of Science (Grant-in-Aid for Scienti c Research (C) 24530202, 25380238 and 26380316). The usual disclaimers apply. yProfessor, Department of Economics, Senior Researcher, International Center for further Development of Dynamic Economic Research, Chuo University, 742-1, Higashi-Nakano, Hachioji, Tokyo, 192-0393, Japan; akiom@tamacc.chuo-u.ac.jp zProfessor, Department of Applied Mathematics, University of Pecs, Ifjusag u. 6, H-7624, Pecs, Hungary; szidarka@gmail.com" @default.
- W636771061 created "2016-06-24" @default.
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- W636771061 date "2015-02-01" @default.
- W636771061 modified "2023-09-27" @default.
- W636771061 title "Heterogeneous Agents Model of Asset Price with Time Delays" @default.
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