具有有限时间奇点泡沫的简单金融模型的微观基础及其基于代理的模拟

IF 0.9 Q3 ECONOMICS

Economics and Business Letters Pub Date : 2023-12-15 DOI:10.17811/ebl.12.4.2023.277-283

Naohiro Yoshida

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引用次数: 0

摘要

本文提出了一个连续时间内金融证券价格的数学模型，其中存在泡沫，价格可能在有限时间内分化和崩溃。在泡沫破灭之前，价格会以超指数方式上升。此外，还提出了一个离散时间超额需求模型，为连续时间模型提供微观基础。推导出的离散时间证券价格模型与连续时间价格模型具有相同的特征，并表达了有限时间奇异性。此外，基于超额需求模型，我们进行了基于代理的模拟来检验价格行为。不出所料，我们可以确认价格会在有限时间内发散并超指数增长。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A micro-foundation of a simple financial model with finite-time singularity bubble and its agent-based simulation

This paper proposes a mathematical model of financial security prices in continuous time with bubbles in which prices may diverge and crash in finite time. Just before the bubbles burst, prices increase super-exponentially. In addition, a discrete-time excess demand model is proposed to provide a micro-foundation for the continuous-time model. The derived discrete-time security price model has the same characteristics as the continuous-time price model and expresses the finite-time singularity. Furthermore, based on the excess demand model, an agent-based simulation is performed to check the price behavior. As expected, we can confirm that prices can diverge in finite time and increase super-exponentially.

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来源期刊

Economics and Business Letters ECONOMICS-

CiteScore

1.80

自引率

11.10%

发文量

期刊介绍： Economics and Business Letters is an open access journal that publishes both theoretical and empirical quality original papers in all economics and business fields. In addition, relevant discussions on current policy issues will be considered for the Policy Watch section. As general strategy of EBL, the journal will launch calls for papers for special issues on topics of interest, generally with invited guest editors. The maximum length of the letters is limited to 2,500 words.