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The Heterogeneous Agents Model of Financial Crisis and Its Simulation

Author: SuKai
Tutor: XiaoLiuQing
School: Shanghai Jiaotong University
Course: Applied Mathematics
Keywords: financial crisis heterogeneous agents dynamic equilibrium model the fundamentalists the chartists demand function expected profit function
CLC: F831.59
Type: Master's thesis
Year: 2012
Downloads: 107
Quote: 0
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In 2008, U.S. financial crisis caused a huge impact on the world’s economy. Today, more and more people began to study the financial crisis, trying to understand its causes and find the way to control or avoid it. By establishing the model about the financial crisis has become an important means to study it. In this paper, the securities market will bring in some agents, the agent’s behavior will be divided into two types: the fundamentalists and the chartists by the concept of the heterogeneous agent. Heterogeneity model of price dynamics will be exported by the interaction and mutual transformation of the two types of agents. Through mathematical analysis to the model and studying on relevant external factors, such as market share index, the concentration of selection, information costs and the relative risk tolerance, we can analysis these factors are how to affect the stock price volatility.In addition, through the model in my paper, the Shanghai Composite Index fell in three different types were fitted to further confirming the validity of the model. By heterogeneous price dynamics model, we can draw the following major conclusions. First, financial crises are endogenous and determined by the price of their inner dynamic system. Second, the market structure is a key factor in the heterogeneous price dynamics, and some factors that related to market factors, they are likely to have an impact in determining the type of financial crisis. Finally, although it is generally considered that the fundamentalists bear the important responsibility for causing the financial crisis, but for some of the financial crisis, the chartists are needed to bear the main responsibility.The innovation of this paper is quantization analysis of the fundamentalists and the chartists, whose both the available information and investment strategies are different. By studying their intrinsic motivation and the external variable factors to set parameters to characterise their interaction and transformation mechanisms, and ultimately establish the price dynamic equilibrium model which based on the main demand function and the expected profit function of the heterogeneous agents. Furthermore, this model can show different types of financial crisis by adjusting parameters.

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