Heterogeneous Expectations and Nonlinear Herding Beliefs Diffusion

摘要：

This paper generalizes Kirmans model, and explores the mechanism of nonlinear herding behavior in depth. By use of simulation some important behavioral parameters, initial values, and critical values in the beliefs diffusion process concerning two types of heterogeneous expectations investors are obtained. Firstly, the relationships between nonlinear herding transition probabilities and the number of investors are discussed. Secondly, the equilibrium distribution of beliefs diffusion and some important characteristics in the beliefs diffusion process are discussed. By comparing nonlinear herding pattern with linear herding pattern comprehensively, some new important laws are found.

关键词： heterogeneous expectations nonlinear herding transition probabilities markov chain beliefs diffusion behavioral parameters

作者: FANG Yong

作者单位: Post-doctoral Research Center for Applied Economics, Shanghai University of Finance and Economics, P.R.China, 200433 Department of Applied Mathematics, Shanghai Finance University, P.R.China, 201209

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 454-460

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）