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Heterogén kereskedési stratégiák hatása a piaci árfolyamokra
[The effect of heterogeneous commercial strategies on market exchange rates]

Author

Listed:
  • Bihary, Zsolt
  • Víg, Attila András

Abstract

Egy folytonos idejű, heterogén ágenseken alapuló tőkepiaci modellt javaslunk, amely támaszkodik He-Li [2015] hasonló modelljére. A piacon fundamentális, trendkövető, valamint indexkövető kereskedők vannak jelen, ők mozgatják az egyetlen kockázatos eszköz árfolyamát. Modellünk statisztikai tulajdonságait mintatrajektóriákon szemléltetjük, valamint megvizsgáljuk az invariáns eloszlásokat. A kapcsolódó szakirodalom a piaci stabilitást a modellek determinisztikus csontvázán, illetve sztochasztikus esetben Monte-Carlo-szimuláció segítségével vizsgálja. Cikkünkben az általános modell esetében az invariáns eloszlást a Kolmogorov-féle parciális differenciálegyenlet numerikus megoldásával kapjuk. Bemutatunk továbbá két - egyszerűsített - modellt is, amelyekben analitikus eredményekre jutunk. Ha kevés a fundamentális kereskedő, akkor a piaci ár jelentősen elszakad a fundamentális értéktől. Trendkövetők által dominált piacon permanens trendek és buborékok alakulnak ki, a piac akár destabilizálódhat is. Modellünk eredményeit összevetjük a valós piaci árfolyammozgásokkal. A számottevően eltérő SP500- és bitcoinpiacok empirikus jellegzetességei összhangban állnak modellünk karakterisztikus tulajdonságaival.* Journal of Economic Literature (JEL) kód: G11, G17.

Suggested Citation

  • Bihary, Zsolt & Víg, Attila András, 2020. "Heterogén kereskedési stratégiák hatása a piaci árfolyamokra [The effect of heterogeneous commercial strategies on market exchange rates]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 688-707.
    • Handle: RePEc:ksa:szemle:1914
    DOI: 10.18414/KSZ.2020.7-8.688
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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