Online Resource
Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
Format:
1 Online-Ressource (37 Seiten)
ISSN:
1436-1086
Series Statement:
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes 2001,2001,36
Content:
We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their “neighbors" and on a random signal about the \mood of the market". We analyze the asymptotics of both aggregate behaviour and asset prices. We give sufficient conditions for the distribution of equilibrium prices to converge to a unique equilibrium, and provide a microeconomic foundation for the use of diffusion models in the analysis of financial price fluctuations.
Language:
English
URN:
urn:nbn:de:kobv:11-10049758
URL:
Volltext
(kostenfrei)
| Library |
Location |
Call Number |
Volume/Issue/Year |
Availability |
