{"title":"Detecting and Measuring Financial cycles in Heterogeneous Agents Models: an Empirical Analysis","authors":"Filippo Gusella","doi":"10.1142/S0219525922400021","DOIUrl":null,"url":null,"abstract":"This paper proposes a macroeconometric analysis to depict and measure possible nancial cycles that emerge due to the dynamic interaction between heterogeneous market participants. We consider 2-type heterogeneous speculative agents: Trend followers tend to follow the price trend while contrarians go against the wind. As agents' beliefs are unobserved variables, we construct a state-space model where heuristics are considered as unobserved state components and from which the conditions for endogenous cycles can be mathematically derived and empirically tested. Further, we speci cally measure the length of endogenous nancial cycles. The model is estimated using the equity price index for the 196","PeriodicalId":50871,"journal":{"name":"Advances in Complex Systems","volume":"1 1","pages":"2240002:1-2240002:22"},"PeriodicalIF":0.7000,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Advances in Complex Systems","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1142/S0219525922400021","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS","Score":null,"Total":0}
引用次数: 1
Abstract
This paper proposes a macroeconometric analysis to depict and measure possible nancial cycles that emerge due to the dynamic interaction between heterogeneous market participants. We consider 2-type heterogeneous speculative agents: Trend followers tend to follow the price trend while contrarians go against the wind. As agents' beliefs are unobserved variables, we construct a state-space model where heuristics are considered as unobserved state components and from which the conditions for endogenous cycles can be mathematically derived and empirically tested. Further, we speci cally measure the length of endogenous nancial cycles. The model is estimated using the equity price index for the 196
期刊介绍：
Advances in Complex Systems aims to provide a unique medium of communication for multidisciplinary approaches, either empirical or theoretical, to the study of complex systems. The latter are seen as systems comprised of multiple interacting components, or agents. Nonlinear feedback processes, stochastic influences, specific conditions for the supply of energy, matter, or information may lead to the emergence of new system qualities on the macroscopic scale that cannot be reduced to the dynamics of the agents. Quantitative approaches to the dynamics of complex systems have to consider a broad range of concepts, from analytical tools, statistical methods and computer simulations to distributed problem solving, learning and adaptation. This is an interdisciplinary enterprise.
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