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Heterogeneous Agent Model with Three Delays MATSUMOTO, Akio SZIDAROVSZKY, Ferenc この資料の著作権は、資料の著作者または学校法人中央大学に帰属します。著作権法が定める私的利用・引用を超える使用を希望される場合には、掲載誌発行部局へお問い合わせください。 Heterogeneous agent model Three time delays Stability switching curves Delay effect Bifurcation application/pdf This paper considers a continuous-time heterogeneous agent model of a financial market with one risky asset, two types of agents (i.e., the fundamentalists and the chartists), and three time delays. The chartist demand is determined through a nonlinear function of the difference between the current price and a weighted moving average of the delayed prices whereas the fundamentalist demand is governed by the difference between the current price and the fundamental value. The asset price dynamics is described by a nonloiniear delay differential eqation. Two main results are analytically and numerically shown: (i) the delay destabilizes the market price and generates cyclic oscillations around the equilibrium; (ii) under multiple delays, stability loss and gain repeatedly occurs as a length of the delay increases. 中央大学経済研究所 2016-05-01 eng departmental bulletin paper VoR https://chuo-u.repo.nii.ac.jp/records/7544 経済研究所 Discussion Paper IERCU Discussion Paper 265 https://chuo-u.repo.nii.ac.jp/record/7544/files/DPno265.pdf application/pdf 531.3 kB 2019-04-22