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  1. Integrating real sector growth and inflation into an agent-based stock market dynamics
    Autor*in: Franke, Reiner; Ghonghadze, Jaba
    Erschienen: 2014
    Verlag:  Univ., Kiel

    Concentrating on speculative flow rather than stock demand, the paper puts forward a deterministic continuous-time model of the equity market that is compatible with a growing and inflationary economy. Instead of the systematically rising equity... mehr

    Standort:
    Universitätsbibliothek Kiel, Zentralbibliothek
    Signatur:
    EFinMaP
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 474 (4)
    Fernleihe:
    keine Fernleihe

     

    Concentrating on speculative flow rather than stock demand, the paper puts forward a deterministic continuous-time model of the equity market that is compatible with a growing and inflationary economy. Instead of the systematically rising equity price, the central state variable in now Tobin's q, which makes it necessary to consider explicitly the financing of fixed investment in the real sector. Integrating a number of suitable re-specifications and fixing the variables in the real sector, the model succeeds in the re-establishing (almost) the same mathematical structure as the elegant two-dimensional Lux (1995) model, which implicitly was set up in the usual stationary and non-inflationary environment. Thus a speculative dynamics is obtained that can generate persistent oscillations as well as bubble equilibria and a rich sequence of local and global bifurcations. The model is ready to be combined with the growth cycles in a real sector, where the short-term fluctuations of Tobin's q may then also affect aggregate demand.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/102267
    Schriftenreihe: Finmap-working paper / Finmap Research Office ; 4
    Umfang: Online-Ressource (30 S.), graph. Darst.
  2. Bringing an elementary agent-based model to the data
    estimation via GMM and an application to forecasting of asset price volatility
    Autor*in: Ghonghadze, Jaba; Lux, Thomas
    Erschienen: 2015
    Verlag:  Univ., Kiel

    We explore the issue of estimating a simple agent-based model of price formation in an asset market using the approach of Alfarano et al. (2008) as an example. Since we are able to derive various moment conditions for this model, we can apply... mehr

    Standort:
    Universitätsbibliothek Kiel, Zentralbibliothek
    Signatur:
    EFinMaP
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 474 (38)
    Fernleihe:
    keine Fernleihe

     

    We explore the issue of estimating a simple agent-based model of price formation in an asset market using the approach of Alfarano et al. (2008) as an example. Since we are able to derive various moment conditions for this model, we can apply generalized method of moments (GMM) estimation. We find that we can get relatively accurate parameter estimates with an appropriate choice of moment conditions and initialization of the iterative GMM estimates that reduce the biases arising from strong autocorrelations of the estimates of certain parameters. We apply our estimator to a sample of long records of returns of various stock and foreign exchange markets as well the price of gold. Using the estimated parameters to form the best linear forecasts for future volatility we find that the behavioral model generates sensible forecasts that get close to those of a standard GARCH (1,1) model in their overall performance, and often provide useful information on top of the information incorporated in the GARCH forecasts.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/108993
    Schriftenreihe: Finmap-working paper / Finmap Research Office ; 38
    Umfang: Online-Ressource (31 S.), graph. Darst.