Trading heterogeneity under information uncertainty

© 2016 Elsevier B.V. Instead of heuristical heterogeneity assumption in the current heterogeneous agent models (HAMs), we derive the trading heterogeneity by introducing information uncertainty about the fundamental value to a HAM. Conditional on their private information about the fundamental value, agents choose different trading strategies when optimizing their expected utilities. This provides a micro-foundation to heterogeneity and switching behavior of agents. We show that the HAM with trading heterogeneity originating from the incomplete information performs equally well, if not better than existing HAMs, in generating bubbles, crashes, and mean-reverting prices. The simulated time series matches with the S&P 500 in terms of power law distribution in returns, volatility clustering and long memory in volatility

Dynamics of moving average rules in a continuous-time financial market model

Within a continuous-time framework, this paper proposes a stochastic heterogeneous agent model (HAM) of financial markets with time delays to unify various moving average rules used in discrete-time HAMs. The time delay represents a memory length of a moving average rule in discrete-time HAMs. Intuitive conditions for the stability of the fundamental price of the deterministic model in terms of agents' behavior parameters and memory length are obtained. It is found that an increase in memory length not only can destabilize the market price, resulting in oscillatory market price characterized by a Hopf bifurcation, but also can stabilize an otherwise unstable market price, leading to stability switching as the memory length increases. Numerical simulations show that the stochastic model is able to characterize long deviations of the market price from its fundamental price and excess volatility and generate most of the stylized facts observed in financial markets. © 2010

Heterogeneous expectations and exchange rate dynamics

This article presents a continuous-time model of exchange rates not only relying on macroeconomic factors but also having an investor heterogeneity component. The driving macroeconomic factor is the domestic-foreign interest rate differential, while the investor heterogeneity is described by the expectations of boundedly rational portfolio managers who use a weighted average of the expectations of fundamentalists and chartists. Within this framework, the different roles of the macroeconomic factor and investor heterogeneity in the determination of the exchange rate are examined explicitly. We show that this simple model generates very complicated market behaviour, including the existence of multiple steady-state equilibria, deviations of the market exchange rate from the fundamental one and market fluctuations. Numerical simulation of the corresponding stochastic version of the model shows that the model is able to generate typical time series and volatility clustering patterns observed in exchange rate markets. © 2013 Copyright Taylor and Francis Group, LLC

An analysis of the effect of noise in a heterogeneous agent financial market model

Heterogeneous agent models (HAMs) in finance and economics are often characterised by high dimensional nonlinear stochastic differential or difference systems. Because of the complexity of the interaction between the nonlinearities and noise, a commonly used, often called indirect, approach to the study of HAMs combines theoretical analysis of the underlying deterministic skeleton with numerical analysis of the stochastic model. However, it is well known that this indirect approach may not properly characterise the nature of the stochastic model. This paper aims to tackle this issue by developing a direct and analytical approach to the analysis of a stochastic model of speculative price dynamics involving two types of agents, fundamentalists and chartists, and the market price equilibria of which can be characterised by the stationary measures of a stochastic dynamical system. Using the stochastic method of averaging and stochastic bifurcation theory, we show that the stochastic model displays behaviour consistent with that of the underlying deterministic model when the time lag in the formation of price trends used by the chartists is far away from zero. However, when this lag approaches zero, such consistency breaks down. © 2010 Elsevier B.V

Sex-specific assessment of reduced coronary sinus flow in non-hypertensive patients with coronary artery disease at rest

Background: Access to data on the coronary flow in the coronary sinus (CS) can aid in the diagnosis of coronary artery disease (CAD). We tested the hypothesis that assessing the CS flow by transthoracic Doppler echocardiography (TTE) at rest can detect coronary artery stenosis in non-hypertensive patients.Methods: The antegrade phase of coronary flow in the CS was analyzed and compared in 140 male and 135 female non-hypertensive subjects who had all undergone coronary angiography.Results: There were statistically significant differences noted between males and females for the CS flow both in normal subjects and patients with CAD. Compared with normal subjects, patients with CAD had significantly lower blood flow in the CS both in males (196.69174.31 vs. 367.659168.04 ml/min, PB0.01) and females (183.04965.46 vs. 244.139135.43 ml/min PB0.01). For males, the diagnostic sensitivity, specificity, and accuracy of the cutoff value of the CS flow (206 ml/min) for predicting a significant coronary artery stenosis (70%) were 91.67%, 81.25%, and 85.71%, respectively. For females, those of the cutoff value of the CS flow (195 ml/min) were 85.71%, 75%, and 80%, respectively.Conclusion: TTE can effectively detect coronary hemodynamically significant stenosis in non-hypertensive male and female patients at different cutoff values.Keywords: coronary flow; coronary sinus; coronary artery stenoses; males and females; non-hypertensive patients; transthoracic Doppler echocardiograph

Heterogeneous agent models in financial markets: A nonlinear dynamics approach

© 2018 Elsevier Inc. Studies on financial markets have accumulated consistent evidences of stylized facts and anomalies, which can be characterized by stochastic switching among different co-existing market states but yet difficult to reconcile with traditionally rational expectation theory. When agents are heterogeneous and boundedly rational, recent developments on the role of the adaptive behavior of interacting heterogeneous agents in financial markets have provided a nonlinear dynamics channel to such co-existence of different market states, shedding light into these stylized facts and anomalies. This survey focuses on the nonlinear dynamics approach to model the feedback of evolutionary dynamics of heterogeneous agents and to characterize the underlying mechanisms of the stylized facts and anomalies in financial markets, of which the authors and several coauthors have contributed in several papers

The stochastic bifurcation behaviour of speculative financial markets

This paper establishes a continuous-time stochastic asset pricing model in a speculative financial market with fundamentalists and chartists by introducing a noisy fundamental price. By application of stochastic bifurcation theory, the limiting market equilibrium distribution is examined numerically. It is shown that speculative behaviour of chartists can cause the market price to display different forms of equilibrium distributions. In particular, when chartists are less active, there is a unique equilibrium distribution which is stable. However, when the chartists become more active, a new equilibrium distribution will be generated and become stable. The corresponding stationary density will change from a single peak to a crater-like density. The change of stationary distribution is characterized by a bimodal logarithm price distribution and fat tails. The paper demonstrates that stochastic bifurcation theory is a useful tool in providing insight into various types of financial market behaviour in a stochastic environment. © 2008 Elsevier Ltd. All rights reserved

Juvenile socio-sexual experience determines lifetime sperm expenditure and adult survival in a polygamous moth, Ephestia kuehniella.

"This is the peer reviewed version of the following article: Junyan Liu, Xiong Z. He, Xia-Lin Zheng, Yujing Zhang, Qiao Wang, Insect Science(2022) 0, 1–9, which has been published in final form at Doi 10.1111/1744-7917.13088,. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited."CAUL read and publish agreement 2022Male animals often adjust their sperm investment in response to sperm competition environment. To date, only a few studies have investigated how juvenile sociosexual settings affect sperm production before adulthood and sperm allocation during the first mating. Yet, it is unclear whether juvenile sociosexual experience (1) determines lifetime sperm production and allocation in any animal species; (2) alters the eupyrene : apyrene sperm ratio in lifetime ejaculates of any lepidopteran insects, and (3) influences lifetime ejaculation patterns, number of matings and adult longevity. Here we used a polygamous moth, Ephestia kuehniella, to address these questions. Upon male adult emergence from juveniles reared at different density and sex ratio, we paired each male with a virgin female daily until his death. We dissected each mated female to count the sperm transferred and recorded male longevity and lifetime number of matings. We demonstrate for the first time that males ejaculated significantly more eupyrenes and apyrenes in their lifetime after their young were exposed to juvenile rivals. Adult moths continued to produce eupyrene sperm, contradicting the previous predictions for lepidopterans. The eupyrene : apyrene ratio in the lifetime ejaculates remained unchanged in all treatments, suggesting that the sperm ratio is critical for reproductive success. Male juvenile exposure to other juveniles regardless of sex ratio caused significantly shorter adult longevity and faster decline in sperm ejaculation over successive matings. However, males from all treatments achieved similar number of matings in their lifetime. This study provides insight into adaptive resource allocation by males in response to juvenile sociosexual environment.Published onlin

Larval social cues influence testicular investment in an insect

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Pan-African metamorphic and magmatic rocks of the Khanka Massif, NE China: Further evidence regarding their affinity

The Khanka Massif is a crustal block located along the eastern margin of the Central Asian Orogenic Belt (CAOB) and bordered to the east by Late Jurassic-Early Cretaceous circum-Pacific accretionary complexes of the Eastern Asian continental margin. It consists of graphite-, sillimanite- and cordierite-bearing gneisses, carbonates and felsic paragneisses, in association with various orthogneisses. Metamorphic zircons from a sillimanite gneiss from the Hutou complex yield a weighted mean 206Pb/ 238U age of 490 ± 4 Ma, whereas detrital zircons from the same sample give ages from 934-610 Ma. Magmatic zircon cores in two garnet-bearing granite gneiss samples, also collected from the Hutou complex, yield weighted mean 206Pb/ 238U ages of 522 ± 5 Ma and 515 ± 8 Ma, whereas their metamorphic rims record 206Pb/ 238U ages of 510-500 Ma. These data indicate that the Hutou complex in the Khanka Massif records early Palaeozoic magmatic and metamorphic events, identical in age to those in the Mashan Complex of the Jiamusi Massif to the west. The older zircon populations in the sillimanite gneiss indicate derivation from Neoproterozoic sources, as do similar rocks in the Jiamusi Massif. These data confirm that the Khanka Massif has a close affinity with other major components of the CAOB to the west of the Dun-Mi Fault. Based on these results and previously published data, the Khanka Massif is therefore confirmed as having formed a single crustal entity with the Jiamusi (and possibly the Bureya) massif since Neoproterozoic time. Copyright © Cambridge University Press 2010.published_or_final_versio