Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents

摘要

We introduce a stochastic heterogeneous interacting-agent model for theshort-time non-equilibrium evolution of excess demand and price in a stylizedasset market. We consider a combination of social interaction within peergroups and individually heterogeneous fundamentalist trading decisions whichtake into account the market price and the perceived fundamental value of theasset. The resulting excess demand is coupled to the market price. Rigorousanalysis reveals that this feedback may lead to price oscillations, a singlebounce, or monotonic price behaviour. The model is a rare example of ananalytically tractable interacting-agent model which allows us to deduce indetail the origin of these different collective patterns. For a natural choiceof initial distribution the results are independent of the graph structure thatmodels the peer network of agents whose decisions influence each other.