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=2

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=<p>This paper considers a continuous-time heterogeneous agent model of a financial market with one risky asset, two types of agents (i.e., the fundamentalists and the chartists), and three time delays. The chartist's demand is determined through a nonlinear function of the difference between the current price and a weighted moving average of the delayed prices whereas the fundamentalist's demand is governed by the difference between the current price and the fundamental value. The asset price dynamics is described by a nonlinear delay differential equation. Two main results are analytically and numerically shown:
<list list-type="simple"><list-item><p>(i) a single delay destabilizes the market price and generates cyclic oscillations around the equilibrium;</p></list-item><list-item><p>(i) under multiple delays, stability loss and gain repeatedly occur as the length of the delay increases.</p></list-item></list></p>