List of Articles Heterogeneous agent model

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  1 - Hypothesis testing of Heterogeneous agents using STAR model with multivariate transition function: A case study of Tehran Stock market
  Hassan Heidari Parisa Johari Salmasi Saeid Rasekhi Hamidreza Faaljoo
  In this study, in order to investigate the hypothesis of Heterogeneous agents in the Tehran Stock market and for examine empirically the importance of fundamental analysts and technical analysts in Tehran Stock market and the effects of macroeconomic variables on the sh More

  In this study, in order to investigate the hypothesis of Heterogeneous agents in the Tehran Stock market and for examine empirically the importance of fundamental analysts and technical analysts in Tehran Stock market and the effects of macroeconomic variables on the share of the decision-makers in the stock market, we have used Tehran Stock Exchange data and Iran's macroeconomic time series data to estimate the STAR model with multivariate transition function over the seasonally period 1376 to 1393. The results of the model indicate that the share of market fundamentalist analysts when high risk and high volatility in stock price indices in the market there is more than technical analysts. Economic growth also took a larger share of the market analysts use technical analysis agents Therefore market prices diverge from their fundamental value. Also during that industrial production in the economy increases fundamentalist analysts are dominant in the stock market and Prices gradually converge towards the base price Manuscript profile
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  2 - A heterogeneous agent pricing model and simulation investor’s behavior on big decline on Tehran stock exchange
  Mehdi Khoshnood Fraydoon Rahnamay Roodposhti
  Today much behavioral finance researches focuses on heterogeneous agent model (HAM) and agent based modeling (ABM). The purposes of this article presentation of heterogeneous agent pricing model at big decline on Tehran stock exchange and simulation investor’s beh More

  Today much behavioral finance researches focuses on heterogeneous agent model (HAM) and agent based modeling (ABM). The purposes of this article presentation of heterogeneous agent pricing model at big decline on Tehran stock exchange and simulation investor’s behavior on agent based modeling framework with emphasis herd behavior and market sentiment. at first three big decline specified with several criterion : average of the share price indices , average value of the stock market turnover , average value of the stock market capitalization .according this three big decline are : 2005 ,2008 and 2013. Samples are the shares of companies that 40 days before and 40 days after was traded .then with MATLAB software code was writhed and simulation done. Finding show that HAM model can estimate investor’s behavior at big decline on Tehran stock exchange. Manuscript profile
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  3 - The optimization of Investment Beliefs in Tehran Stock Exchange Break Points Based on Heterogeneous Agent Models Framework and Agent Based Modelling with Genetic Algorithm
  mehdi khoshnood Fraydoun Rahnamay Roodposhti Hashem Nikoomaram
  This paper survey beliefs of investor on Tehran stock exchange at three break point date (BPD). at first  three BPD with several criterion : average of the share price indices , average value of the stock market turnover , average value of the stock market capitali More

  This paper survey beliefs of investor on Tehran stock exchange at three break point date (BPD). at first  three BPD with several criterion : average of the share price indices , average value of the stock market turnover , average value of the stock market capitalization .according this three BPD are : the election of Mahmood Ahmadinejad at 2005 , financial crisis at 2008  and the election of Hassan rouhani at 2013 . In addition this paper is base of Brock and Hommes heterogeneous agent model (HAM) framework. Samples are the shares of companies that 40 days before and 40 days after was traded .then with MATLAB software   code was writhed and simulation done. Finding shows that strategy of contrarian trend chaser is the best and we can with genetic algorithm optimize average and standard deviation of coefficient of investment strategy and adaption with real market at break point dates.  Manuscript profile