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Financial Market Model Based on Heterogeneous Agent Interacting

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Proceedings of the 2nd International Conference on Green Communications and Networks 2012 (GCN 2012): Volume 2

Part of the book series: Lecture Notes in Electrical Engineering ((LNEE,volume 224))

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Abstract

In this paper, a financial market model based on heterogeneous agent interacting is constructed. In this model, two types of agents (fundamentalist and trend follower) are assumed to exist in financial market, and contrarian investment strategy and inertia investment strategy are respectively applied by them and realized investment return is used as fitness index, so as to form a heterogeneous expectation for the future price of risky assets. When investors convert different faiths or investment strategies, their proportions are presented to be time-varying.

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Author information

Authors and Affiliations

  1. School of Management, Capital Normal University, Beijing, 100048, China

    Yang Yu

Authors
  1. Yang Yu
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Correspondence to Yang Yu .

Editor information

Editors and Affiliations

  1. Department of Electronic Engineering, Shanghai Jiao Tong University, Shanghai, China, People's Republic

    Yuhang Yang

  2. Electrical & Electronic Engineering, Nanyang Technological University, Singapore, Singapore

    Maode Ma

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Yu, Y. (2013). Financial Market Model Based on Heterogeneous Agent Interacting. In: Yang, Y., Ma, M. (eds) Proceedings of the 2nd International Conference on Green Communications and Networks 2012 (GCN 2012): Volume 2. Lecture Notes in Electrical Engineering, vol 224. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-35567-7_11

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  • DOI: https://doi.org/10.1007/978-3-642-35567-7_11

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-35566-0

  • Online ISBN: 978-3-642-35567-7

  • eBook Packages: EngineeringEngineering (R0)

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