Incentives and Adaptive Expectations in a Financial Market with Heterogenous Agents
Wang J (2015) Working Papers in Economics and Management; 10-2015.
Bielefeld: Bielefeld University, Department of Business Administration and Economics.
Diskussionspapier
| Veröffentlicht | Englisch
Download
wpaper_10_2015.pdf
839.21 KB
Autor*in
Wang, Juanxi
Einrichtung
Abstract / Bemerkung
This paper establishes an agent-based model to describe the dynamic behaviour
of the financial market with mutual fund managers and investors under two types
of compensation contracts: asset-based fees and performance-based fees, and using
two types of adaptive expectation: trend chaser and contrarian. Our results show
that both of trading strategies of trend chaser and contrarian destabilise the market.
However, trend chasers always trigger significant fluctuations, while contrarian
traders bring along the slight up and down oscillations. The types of compensation
contracts change the behaviour of contrarian traders, but have no influence to trend
chaser. We also find that inertia parameter decrease the stability of market and induce
market price to be underestimated. In particular, the heterogenous analysis
under different compensation contracts shows that asset maximisers dominate the
whole market and produce higher returns, which can be used to explain the current
situation in real market that most of mutual funds choose asset-based contract.
Moreover, the coexistence of two compensation schemes may amplify market fluctuations
and create bubbles.
Stichworte
mutual fund manager;
compensation contract;
bounded rationality;
adaptive expectation;
nonlinear dynamics;
risk taking behaviour;
heterogenity
Erscheinungsjahr
2015
Serientitel
Working Papers in Economics and Management
Band
10-2015
Seite(n)
37
ISSN
2196-2723
Page URI
https://pub.uni-bielefeld.de/record/2915574
Zitieren
Wang J. Incentives and Adaptive Expectations in a Financial Market with Heterogenous Agents. Working Papers in Economics and Management. Vol 10-2015. Bielefeld: Bielefeld University, Department of Business Administration and Economics; 2015.
Wang, J. (2015). Incentives and Adaptive Expectations in a Financial Market with Heterogenous Agents (Working Papers in Economics and Management, 10-2015). Bielefeld: Bielefeld University, Department of Business Administration and Economics. doi:10.4119/unibi/2915574
Wang, Juanxi. 2015. Incentives and Adaptive Expectations in a Financial Market with Heterogenous Agents. Vol. 10-2015. Working Papers in Economics and Management. Bielefeld: Bielefeld University, Department of Business Administration and Economics.
Wang, J. (2015). Incentives and Adaptive Expectations in a Financial Market with Heterogenous Agents. Working Papers in Economics and Management, 10-2015, Bielefeld: Bielefeld University, Department of Business Administration and Economics.
Wang, J., 2015. Incentives and Adaptive Expectations in a Financial Market with Heterogenous Agents, Working Papers in Economics and Management, no.10-2015, Bielefeld: Bielefeld University, Department of Business Administration and Economics.
J. Wang, Incentives and Adaptive Expectations in a Financial Market with Heterogenous Agents, Working Papers in Economics and Management, vol. 10-2015, Bielefeld: Bielefeld University, Department of Business Administration and Economics, 2015.
Wang, J.: Incentives and Adaptive Expectations in a Financial Market with Heterogenous Agents. Working Papers in Economics and Management, 10-2015. Bielefeld University, Department of Business Administration and Economics, Bielefeld (2015).
Wang, Juanxi. Incentives and Adaptive Expectations in a Financial Market with Heterogenous Agents. Bielefeld: Bielefeld University, Department of Business Administration and Economics, 2015. Working Papers in Economics and Management. 10-2015.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Copyright Statement:
Dieses Objekt ist durch das Urheberrecht und/oder verwandte Schutzrechte geschützt. [...]
Volltext(e)
Name
wpaper_10_2015.pdf
839.21 KB
Access Level
Open Access
Zuletzt Hochgeladen
2019-09-06T09:18:55Z
MD5 Prüfsumme
770a7eb9904ea33367049d04f2c80acb