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

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

The use of Rough Set and Spatial Statistic in evaluating the Periurban Fringe

The distinction among urban, peri-urban and rural areas inside a territory represents a classical example of uncertainty in land classification. The transition among the three classes is not much clear and can be described with Sorites Paradox, considering the residential buildings and the settlements. Peri-urban fringe can be considered as a transition zone between urban and rural areas, as an area with its own intrinsic organic rules, as a built area without formal organisation or as an abandoned rural area contiguous to urban centres. In any case, concepts as density of buildings, services and infrastructures or the degree of rural, residential and industrial activities, will lead to uncertainty in defining classes, due to the uncertainty in combining some properties. One of the methods which can be utilized is the rough sets theory, which represents a different mathematical approach to uncertainty capturing the indiscernibility. The definition of a set is connected to information knowledge and perception about phenomena. Some phenomena can be classified only in the context of the information available about them. Two different phenomena can be indiscernible in some contexts and classified in the same way (Pawlak 83). The rough sets approach to data analysis hinges on two basic concepts, the lower approximation which considers all the elements that doubtlessly belong to the class, and the upper approximation which includes all the elements that possibly belong to the class. The rough sets theory furthermore takes into account only properties which are independent. This approach has been tested in the case of study of Potenza Province. This area, located in Southern Italy, is particularly suitable to the application of this theory, because it includes 100 municipalities with different number of inhabitants, quantity of services and distance from the main road infrastructures.

Transforming the space-time of learning through interactive whiteboards : the case of a knowledge creation collaborative task

The present article aims at qualitatively exploring the emergent space-time configurations of Interactive Whiteboard (IWB) usage within a collaborative media design task at a university of applied sciences. During this course, the students had an opportunity to use the IWB technology to support the collaborative learning process within small groups of 4-5 members. It is argued that research on the space-time transformations enabled by digital technology, carried out by adopting the dialogical concept of chronotope, is useful to improve the understanding of learning in technology rich settings. Participant observation was conducted on two groups of students. Video-audio records of the students' activity and of group interviews were collected and qualitatively analyzed. The findings reveal that the IWB was only partially integrated within the students’ activity. Most of the IWB usage took place during the first phase of the course. The IWB use was characterized by specific space-time configurations that allow to examine how the students attempted to integrate the IWB in their learning space. The students’ reflections during the group interview allow to advance our understanding concerning the emergence of the space-time configurations identified by the researcher, as well as on the students’ perception of the learning environment. It is concluded that the potentiality of IWB and the effectiveness of the emergent space-time configurations is strictly dependent on the nature of the learning task and the pedagogical approach adopted.The present article aims at qualitatively exploring the emergent space-time configurations of Interactive Whiteboard (IWB) usage within a collaborative media design task at a university of applied sciences. During this course, the students had an opportunity to use the IWB technology to support the collaborative learning process within small groups of 4-5 members. It is argued that research on the space-time transformations enabled by digital technology, carried out by adopting the dialogical concept of chronotope, is useful to improve the understanding of learning in technology rich settings. Participant observation was conducted on two groups of students. Video-audio records of the students' activity and of group interviews were collected and qualitatively analyzed. The findings reveal that the IWB was only partially integrated within the students’ activity. Most of the IWB usage took place during the first phase of the course. The IWB use was characterized by specific space-time configurations that allow to examine how the students attempted to integrate the IWB in their learning space. The students’ reflections during the group interview allow to advance our understanding concerning the emergence of the space-time configurations identified by the researcher, as well as on the students’ perception of the learning environment. It is concluded that the potentiality of IWB and the effectiveness of the emergent space-time configurations is strictly dependent on the nature of the learning task and the pedagogical approach adopted.Peer reviewe