Herbert Simon講座系列#23
Agent-based Finance
& Quantitative Finance
代理人基財務與數量金融
http://www.aiecon.org/herbertsimon/
『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 Organization、Quantitative
Finance、Studies 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 Control、Journal of Economic
Behavior and
Organization、Macroeconomic
Dynamics、Journal of Evolutionary
Economics、European
Journal of Finance、Quantitative
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 Control、Journal
of
Economic Interaction and Coordination、Journal
Differential Equations and Dynamical Systems、 Discrete
Dynamics in Nature and Society的副主編與the
Mathematics
Review與American Mathematical
Society的審查人(Reviewer)。
竭誠歡迎您來參加。
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留下您的姓名、服務單位或就讀校系，並註明欲參與的場次。
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:
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.
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.
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.