Interactions and Markets

seminar: Ergodic behavior of financial markets with interacting agents

speaker: Hans Foellmer (Humboldt Universität Berlin)

abstract: The talk will review joint work with Martin Schweizer (FS) and with Ulrich Horst and Alan Kirman (FHK) on financial market models in which agents form their demand on the basis of their forecasts of future prices. Agents may switch between "fundamentalist" or "chartist" forecast rules, depending on the influence of other agents. As long as the chartists predominate prices will exhibit transient behaviour. But if the probability that an agent will switch to being a "chartist'' is not too high then the process has an ergodic limit distribution and does not explode: There are occasional bubbles but they inevitably burst. In (FHK) the agents' choices also depend on the past performance of the different rules as suggested by previous work of A. Kirman, and this additional feature of the model requires new methods in proving ergodicity.

timetable:
Mon 15 Nov, 9:30 - 10:00, Aula Mancini
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