Recent research has acknowledged the crucial role of financial intermediaries’ balance sheet variables – namely, wealth and leverage – in the dynamics of asset prices. In this paper we use a prototypical “small-type” artificial financial market model with heterogeneous interacting traders to pin down how asset prices are affected by the complex interaction between balance sheet constraints and the endogenous evolution of trading rules.
Leverage and evolving heterogeneous beliefs in a simple agent-based financial market / Gaffeo, Edoardo. - In: FINANCE RESEARCH LETTERS. - ISSN 1544-6123. - ELETTRONICO. - 29 (2019):(2019), pp. 272-279. [10.1016/j.frl.2018.08.008]
Leverage and evolving heterogeneous beliefs in a simple agent-based financial market
Gaffeo, Edoardo
2019-01-01
Abstract
Recent research has acknowledged the crucial role of financial intermediaries’ balance sheet variables – namely, wealth and leverage – in the dynamics of asset prices. In this paper we use a prototypical “small-type” artificial financial market model with heterogeneous interacting traders to pin down how asset prices are affected by the complex interaction between balance sheet constraints and the endogenous evolution of trading rules.| File | Dimensione | Formato | |
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