Herbert Simon講座系列#23

Agent-based Finance & Quantitative Finance




『有限理性』、『學習行為』、『異質性經濟個體互動』等理論在國際學術圈中已被廣為討 論多時,其中代理人基模型(Agent-based Model)則是同時考量上述三項個體特性,相關研究又以在財務金融市場的應用居多,並且,已經有許多代理人基財 務金融模型能夠成功地刻劃出存在於金融市場的典型現象(stylized facts)。 有鑑於此,素來就結合計算科學、社會科學及經濟學的社院經濟系人工智慧經濟 學研究中心邀請雪梨科技大學財經學院之Carl Chiarella 教授以及Tony He教授來進行學術演講,兩位教授將為大家介紹在代理人基財務模型的最新發 展以及其數量分析。Carl Chiarella教 授是數學與經濟學雙博士,其學術著作超過150篇,並且為Journal of Economic Dynamics and Control的共同編輯(Co-Editor)Journal of Economic Behavior and OrganizationQuantitative FinanceStudies in Nonlinear Dynamics and Econometrics and European Journal of Finance等期刊的副主編(Associate Editor)。Tony He教授主要的研究是代理人基財務模型以及非線性動態,目前已有許多文章發表在

Journal of Economic Dynamics and ControlJournal of Economic Behavior and OrganizationMacroeconomic DynamicsJournal of Evolutionary EconomicsEuropean Journal of FinanceQuantitative Finance, and Computational Economic等知名的國際期刊,同時,也是IEEE Computational Finance and Economics Technical Committee的副主席(Vice-Chair)以及Journal of Economic Dynamics and ControlJournal of Economic Interaction and CoordinationJournal Differential Equations and Dynamical Systems Discrete Dynamics in Nature and Society的副主編與the Mathematics ReviewAmerican Mathematical Society的審查人(Reviewer)


報名請上政大聯合報名系統 http://moltke.cc.nccu.edu.tw/Registration/registration.do?action=conferenceInfo&conferenceID=X05040
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議程Program Schedule:

時 間 Time

講 者 Speaker

題 目Title

地 點 Place

7/2/ 2012, 14:00 -15:30

Prof. Carl Chiarella

Time-Varying Beta: A Boundedly Rational Equilibrium Approach

政 大綜合院館南棟13樓, 第一會議室

7/2/ 2012, 15:50-17:20

Prof. Tony Xuezhong He

Asset Pricing Under Keeping Up with the Joneses and Heterogeneous Beliefs

政 大綜合院館南棟13樓, 第一會議室

7/4/ 2012, 14:00 -15:30


Prof. Carl Chiarella

A Homoclinic Route to Volatility: Dynamics of Asset Prices under Autoregressive Forecasting

東 海大學社會科學院 SS524 會議室

7/ 4/ 2012, 15:50-17:20

Prof. Tony Xuezhong He

Heterogeneous Beliefs and Prediction Market Accuracy

東 海大學社會科學院 SS524 會議室


主辦單位Sponsor國立政治大學經濟系(Economics Department, National Chengchi University)、東海大學 經濟系(Economics Department, Tunghai University)

協辦單位 Co-sponsors國立政治大學頂大辦公室、國家科學委員會 (Top University Program of National Chengchi University, National Science Council) 、東海大學教師專業成長社群




摘要 Abstracts:

Prof. Carl Chiarella 

Lecture I: Time-Varying Beta: A Boundedly Rational Equilibrium Approach

The conditional CAPM with time-varying betas has been widely used to explain the cross-section of asset returns. However, most of the literature on time-varying beta is motivated by econometric estimation using various latent risk factors rather than explicit modeling of the stochastic behaviour of betas through agents’ behaviour, such as momentum trading. Misspecification of beta risk and the lack of any theoretical guidance on how to specify risk factors based on the representative agent economy appear empirically challenging. In this paper, we set up a dynamic equilibrium model of a financial market with boundedly rational and heterogeneous agents within the mean-variance framework of repeated one-period optimization and develop an explicit dynamic behaviour CAPM relation between the expected equilibrium returns and time-varying betas. By incorporating the two most commonly used types of investors, fundamentalists and chartists, into the model, we show that there is a systematic change in the market portfolio, risk-return relationships, and time varying betas when investors change their behaviour, such as the chartists acting as momentum traders. In particular, we demonstrate the stochastic nature of time-varying betas. We also show that the commonly used rolling window estimates of time-varying betas may not be consistent with the ex-ante betas implied by the equilibrium model. The results provide a number of insights into an understanding of time-varying beta.


Lecture II: A Homoclinic Route to Volatility: Dynamics of Asset Prices under Autoregressive Forecasting

The article investigates the impact of mean-reverting forecasts in a model of asset pricing with two groups of investors undermarket clearing. Fundamentalists believe that asset prices follow an exogenous stochastic process, while chartists assume that asset prices follow a stochastic geometric decay process. For high values of mean reversion a period-doubling bifurcation occurs followed by a Neimark-Sacker bifurcation, after which homoclinic points exist inducing chaotic dynamics. Before the occurrence of homoclinic points, all orbits induce significant fluctuations with recurring symmetries and nonvanishing autocorrelations in all time series of prices and returns. After the homoclinic bifurcation, prices and returns follow alternating phases with low fluctuations near the steady state followed by phases with large excursions from the steady state. This shows that nonlinearities of the deterministic model rather than random perturbations are the causes of volatility clustering and of the generation of fat tails. Autocorrelations of prices and returns vanish while those of absolute returns and squared returns persist for high-order lags. Thus, the model is able to reproduce some important empirical market features.


 Prof. Tony Xuezhong He

Lecture I: Asset Pricing Under Keeping Up with the Joneses and Heterogeneous Beliefs

When agents agree to disagree about the expected growth rate of the aggregate endowment process, we study the asset price dynamics under “Keeping up with the Joneses” (KUJ) meaning that each agent maximizes the expected life-time CRRA utility of his relative consumption to the other agent in the economy. By solving the optimal consumption policies analytically, we obtain the market equilibrium under heterogeneous beliefs. We provide conditions for agents’ long-run survival and show that the market price of risk, risk-free rate, price-dividend ratio in market equilibrium are the consumption share weighted averages of these variables under each agent’s belief. We also show the cyclical behaviour of Sharpe ratio, risk-free rate, price and dividend ratio and stock volatility. Through Monte Carlo simulations, we find that, when the less risk averse agent is relatively optimistic, allowing a small amount of disagreement between agents can explain many market characterizes including excess volatility, a high equity premium and a low risk-free rate identified in financial markets.


Lecture II: Heterogeneous Beliefs and Prediction Market Accuracy

We consider a prediction market in which traders have heterogeneous prior beliefs in probabilities. In the two-state case, we derive necessary and sufficient conditions so that the prediction market is accurate in the sense that the equilibrium state price equals the mean probabilities of traders' beliefs. We also provide a necessary and sufficient condition for the well documented favorite-longshot bias. In an extension to many states, we revisit Varian (1985) and exhibit conditions for the equilibrium state price to only depend on beliefs about that state and to decrease with more heterogeneity in beliefs.