AUTHOR=Matsumoto Akio , Szidarovszky Ferenc 

TITLE=A Heterogeneous Agent Model of Asset Price with Three Time Delays

JOURNAL=Frontiers in Applied Mathematics and Statistics

VOLUME=Volume 2 - 2016

YEAR=2016

URL=https://www.frontiersin.org/journals/applied-mathematics-and-statistics/articles/10.3389/fams.2016.00015

DOI=10.3389/fams.2016.00015

ISSN=2297-4687

ABSTRACT=This paper considers a continuous-time heterogeneous agent model of
a ...nancial market with one risky asset, two types of agents (i.e., the
fundamentalists and the chartists), and three time delays. The chartist
demand is determined through a nonlinear function of the di¤erence be-
tween the current price and a weighted moving average of the delayed
prices whereas the fundamentalist demand is governed by the di¤erence
between the current price and the fundamental value. The asset price dy-
namics is described by a nonlinear delay di¤erential equation. Two main
results are analytically and numerically shown:
(i) the delay destabilizes the market price and generates cyclic oscillations
around the equilibrium;
(ii) under multiple delays, stability loss and gain repeatedly occurs as a
length of the delay increases.