Location: Hill 705
Date & time: Tuesday, 24 January 2017 at 11:45AM - 11:45AM
We introduce a heterogeneous agent mechanism extending from the model. We add one more key factor, length of evaluations on performances between strategies, which also have significant influence on price fluctuations. We also introduce Markov transition matrix, Perron-Frobenius transition matrix, and Inertia to investigate the transitions among states. Our results show the stickiness of states switching from one to another, and the longer length of evaluations on performances would generate more complex dynamic price fluctuations.
We then estimate key parameters in our model. Our empirical results indicates that tradersâ€™ attitudes towards risk vary across time and market. The generally low level of risk bearing by fundamentalists could explain the frequent occurrence of bubbles.