Wealth share analysis with "fundamentalist/chartist" heterogeneous agents

Hai-Chuan Xu, Wei Zhang, Xiong Xiong and Wei-Xing Zhou
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Hai-Chuan Xu: TJU
Wei Zhang: TJU
Xiong Xiong: TJU

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Abstract: We build a multiassets heterogeneous agents model with fundamentalists and chartists, who make investment decisions by maximizing the constant relative risk aversion utility function. We verify that the model can reproduce the main stylized facts in real markets, such as fat-tailed return distribution and long-term memory in volatility. Based on the calibrated model, we study the impacts of the key strategies' parameters on investors' wealth shares. We find that, as chartists' exponential moving average periods increase, their wealth shares also show an increasing trend. This means that higher memory length can help to improve their wealth shares. This effect saturates when the exponential moving average periods are sufficiently long. On the other hand, the mean reversion parameter has no obvious impacts on wealth shares of either type of traders. It suggests that no matter whether fundamentalists take moderate strategy or aggressive strategy on the mistake of stock prices, it will have no different impact on their wealth shares in the long run.

Date: 2014-05
New Economics Papers: this item is included in nep-cmp and nep-upt
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Citations: View citations in EconPapers (3)

Published in Abstract and Applied Analysis 2014, 328498 (2014)

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Journal Article: Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1405.5939

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