基于代表性异质投资者的汇率动态模型

Abstract

Abstract: The impact of the market caused by investors’ heterogeneity is usually neglected in the traditional exchange rate model. With the development of the research on the high frequency dynamic behavior of the exchange market, heterogeneous investors models show a powerful interpretation of laws governing the operation of financial markets. Based on the heterogeneity of the investment strategy, a nonlinear dynamics model describing the isolated exchange market and dominated by supply and demand is proposed in this paper. Some research results are obtained by simulation. In the exchange market dominated by investors, the investment behaviors of the fundamentalists make exchange rate vibrate,and the investment behaviors of the chartists amplify the amplitude of exchange rate.

Key words: exchange rate, heterogeneous interacting-agent models, dynamic model

CLC Number:

F830

HUI Xiao-feng, ZHANG Shuo. Dynamic Model of Exchange Market Based on Heterogeneous Interacting-Agent Models[J]. Chinese Journal of Management Science, 2012, (3): 28-34.

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Dynamic Model of Exchange Market Based on Heterogeneous Interacting-Agent Models

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