Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays

In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who process information from the market with different time delays. Each class of investors is characterized by path dependent risk aversion. We also allow for the possibility of evolutionary switching between trend following and contrarian strategies. We find that the system shows periodic, quasi-periodic and chaotic dynamics as well as synchronization between technical traders. Furthermore, the model is able to generate time series of returns that exhibit statistical properties similar to those of the S&P500 index, which is characterized by excess kurtosis, volatility clustering and long memory.Dynamic asset pricing; Heterogeneous agents; Complex dynamics; Strange attractors; Chaos; Intermittency; Stock market dynamics; Synchronization

Synchronization of Diverse Agents via Phase Analysis

In this paper, the synchronization of heterogeneous agents interacting over a dynamical network is studied. The edge dynamics can model the inter-agent communications which are often heterogeneous by nature. They can also model the controllers of the agents which may be different for each agent or uniform for all the agents. Novel synchronization conditions are obtained for both cases from a phase perspective by exploiting a recently developed small phase theorem. The conditions scale well with the network and reveal the trade-off between the phases of node dynamics and edge dynamics. We also study the synchronizability problem which aims to characterize the allowable diversity of the agents for which controllers can be designed so as to achieve synchronization. The allowable diversity is captured in terms of phase conditions engaging the residue matrices of the agents at their persistent modes. Controller design algorithms are provided for the cases of agent-dependent and uniform controllers, respectively

Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays

In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who process information from the market with different time delays. Each class of investor is characterized by path dependent risk aversion. We also allow for the possibility of evolutionary switching between trend following and contrarian strategies. We find that the system shows periodic, quasi-periodic and chaotic dynamics as well as synchronization between technical traders. Furthermore, the model is able to generate time series of returns that exhibit statistical properties similar to those of the S&P500 index, which is characterized by excess kurtosis, volatility clustering and long memoryComment: 14 pages, 5 figure

Multiplex PI-Control for Consensus in Networks of Heterogeneous Linear Agents

In this paper, we propose a multiplex proportional-integral approach, for solving consensus problems in networks of heterogeneous nodes dynamics affected by constant disturbances. The proportional and integral actions are deployed on two different layers across the network, each with its own topology. Sufficient conditions for convergence are derived that depend upon the structure of the network, the parameters characterizing the control layers and the node dynamics. The effectiveness of the theoretical results is illustrated using a power network model as a representative example.Comment: 13 pages, 6 Figures, Preprint submitted to Automatic