Abstract
The purpose of the present model is investigating both the process of adjustment and the final equilibrium of price and other variables in an imi tative financial market, assuming entries and leavings of agents. We consider three basic operators: fundamentalists, imitators and contrarians, who bet on a next reversing of the price trend. We also study the performances of various agents, assuming that they leave the market when their risk capi tals are depleted. Different scenarios are considered and both analytical and numerical results are shown.
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Tagliani, A., Peccati, L., Ferrari, L. (1997). ‘Ebb and Flow’ of Fundamentalist, Imitator and Contrarian Investors in a Financial Market. In: Zopounidis, C. (eds) New Operational Approaches for Financial Modelling. Contributions to Management Science. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-59270-6_8
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DOI: https://doi.org/10.1007/978-3-642-59270-6_8
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