In contrast with the canonical models of financial markets with heterogeneous agents, Naimzada and Ricchiuti(2008, 2009) show that the interaction of groups of agents who have the same trading rule but present different beliefs about the fundamental value could be a source of instability. In this paper, differently from, Naimzada and Ricchiuti, (2008,2009 ), we assume that the market maker employs a so-called multiplicative price mechanism (Tuinstra, 2002; Zhu et al., 2009). We show that the occurrence of heterogeneity has an ambiguous role: it may either stabilize or destabilize the market.

Naimzada, A., Ricchiuti, G. (2014). Complexity with heterogeneous fundamentalists and a multiplicative price mechanism. ECONOMIC NOTES, 43(3), 233-247 [10.1111/ecno.12021].

Complexity with heterogeneous fundamentalists and a multiplicative price mechanism

NAIMZADA, AHMAD KABIR
Primo
;
2014

Abstract

In contrast with the canonical models of financial markets with heterogeneous agents, Naimzada and Ricchiuti(2008, 2009) show that the interaction of groups of agents who have the same trading rule but present different beliefs about the fundamental value could be a source of instability. In this paper, differently from, Naimzada and Ricchiuti, (2008,2009 ), we assume that the market maker employs a so-called multiplicative price mechanism (Tuinstra, 2002; Zhu et al., 2009). We show that the occurrence of heterogeneity has an ambiguous role: it may either stabilize or destabilize the market.
Articolo in rivista - Articolo scientifico
Economics and Econometrics
English
2014
43
3
233
247
none
Naimzada, A., Ricchiuti, G. (2014). Complexity with heterogeneous fundamentalists and a multiplicative price mechanism. ECONOMIC NOTES, 43(3), 233-247 [10.1111/ecno.12021].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/83303
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