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 indiscrete-time HAMs. The time delay represents a memory length of a moving average rule indiscrete-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 another wise 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 factso bserved in financial markets.asset price; financial market behavior; heterogeneous beliefs; stochastic delay differential equations; stability; bifurcations; stylized facts

The Stochastic Dynamics of Speculative Prices

Within the framework of the heterogeneous agent paradigm, we establish a stochastic model of speculative price dynamics involving of two types of agents, fundamentalists and chartists, and the market price equilibria of which can be characterised by the invariant measures of a random dynamical system. By conducting a stochastic bifurcation analysis, we examine the market impact of speculative behaviour. We show that, when the chartists use lagged price trends to form their expectations, the market equilibrium price can be characterised by a unique and stable invariant measure when the activity of the speculators is below a certain critical value. If this threshold is surpassed, the market equilibrium can be characterised by more than two invariant measures, of which one is completely stable, another is completely unstable and the remaining ones may exhibit various types of stability. Also, the corresponding stationary measure displays a significant qualitative change near the threshold value. We show that the stochastic model displays behaviour consistent with that of the underlying deterministic model. However, when the time lag in the formation of the price trends used by the chartists approaches zero, such consistency breaks down. In addition, the change in the stationary distribution is consistent with a number of market anomalies and stylised facts observed in financial markets, including a bimodal logarithmic price distribution and fat tails.heterogeneous agents; speculative behaviour; random dynamical systems; stochastic bifurcations; invariant measures; chartists

Gravitational resonances on f(R)f(R)-brane

In this paper, we investigate various $f(R)$-brane models and compare their gravitational resonance structures with the corresponding general relativity (GR)-branes. {Starting from some known GR-brane solutions}, we derive thick $f(R)$-brane solutions such that the metric, scalar field, and scalar potential coincide with those of the corresponding GR-branes. {We find that for branes generated by a single or several canonical scalar fields, there is no obvious distinction between the GR-branes and corresponding $f(R)$-branes in terms of gravitational resonance structure.} Then we discuss the branes generated by K-fields. In this case, there could exist huge differences between GR-branes and $f(R)$-branes.Comment: 17 pages, 14 figures, published versio