Coexisting Attractors in a Heterogeneous Agent Model in Discrete Time
Abstract
:1. Introduction
2. The Model
- 1.
- Fundamentalists:
- 2.
- Absolute momentum investors:
- 3.
- Cross-sectional momentum investors:
- The left-hand side of the ODE is discretized in the following way:
- has the following form
3. Local Dynamics
4. Empirical Model
5. Conclusions
Author Contributions
Funding
Data Availability Statement
Conflicts of Interest
References
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Asset | Mean | sd | Min | Max |
---|---|---|---|---|
Amazon | 0.0009 | 0.0205 | −0.1514 | 0.1462 |
Apple | 0.0008 | 0.0179 | −0.1377 | 0.1132 |
Tesla | 0.0016 | 0.0354 | −0.2365 | 0.2183 |
Netflix | 0.0009 | 0.0327 | −0.4326 | 0.3522 |
Exxon | −0.0002 | 0.0162 | −0.1194 | 0.1304 |
Intel | −0.0001 | 0.0188 | −0.1783 | 0.1990 |
A | 0.0084 | 0.0183 | −0.1040 | 0.1376 |
B | −0.0039 | 0.0210 | −0.2314 | 0.2662 |
Asset | Mean | sd | Min | Max | |
---|---|---|---|---|---|
0.2001 | A | −0.0006 | 0.0081 | −0.1074 | 0.1391 |
B | 0.0030 | 0.0232 | −0.2898 | 0.2794 | |
0.2003 | A | −0.0007 | 0.0199 | −0.1158 | 0.1448 |
B | 0.0029 | 0.0638 | −0.2979 | 0.2960 | |
0.2004 | A | −0.0009 | 0.0685 | −0.1442 | 0.1589 |
B | 0.0023 | 0.2220 | −0.3219 | 0.3130 | |
0.20044 | A | −0.0101 | 0.1185 | −0.2509 | 0.2150 |
B | 0.0004 | 0.3886 | −0.6522 | 0.6488 |
Asset | Mean | sd | Min | Max | |
---|---|---|---|---|---|
0.0301 | A | −0.0008 | 0.0089 | −0.1067 | 0.1382 |
B | −0.0039 | 0.0233 | −0.2435 | 0.2719 | |
0.03018 | A | −0.0006 | 0.0092 | −0.1647 | 0.2038 |
B | 0.0020 | 0.0221 | −0.2916 | 0.2967 | |
0.03025 | A | 0.0007 | 0.0096 | −0.1349 | 0.1109 |
B | 0.0005 | 0.0248 | −0.2971 | 0.2617 | |
0.0305 | A | 0.0203 | 0.0277 | −0.1445 | 0.1765 |
B | 0.0004 | 0.0843 | −0.3041 | 0.2875 |
d | N | |||
---|---|---|---|---|
amzn | *** | *** | 60 | |
aapl | *** | *** | 60 | |
nflx | *** | *** | 60 | |
tsla | *** | *** | 60 | |
exxon | *** | *** | 60 | |
intel | *** | *** | 60 | |
Asset A | ** | * | 60 | |
Asset B | *** | *** | 60 | |
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Brianzoni, S.; Campisi, G.; Pacelli, G. Coexisting Attractors in a Heterogeneous Agent Model in Discrete Time. Mathematics 2023, 11, 2348. https://doi.org/10.3390/math11102348
Brianzoni S, Campisi G, Pacelli G. Coexisting Attractors in a Heterogeneous Agent Model in Discrete Time. Mathematics. 2023; 11(10):2348. https://doi.org/10.3390/math11102348
Chicago/Turabian StyleBrianzoni, Serena, Giovanni Campisi, and Graziella Pacelli. 2023. "Coexisting Attractors in a Heterogeneous Agent Model in Discrete Time" Mathematics 11, no. 10: 2348. https://doi.org/10.3390/math11102348
APA StyleBrianzoni, S., Campisi, G., & Pacelli, G. (2023). Coexisting Attractors in a Heterogeneous Agent Model in Discrete Time. Mathematics, 11(10), 2348. https://doi.org/10.3390/math11102348