CSH visitor Anja Janischweski (Technical University of Chemnitz) will give a talk on Friday, April 8 at 3 PM via Zoom.
Please let us know if you want to attend the talk.
Title: Stock price dynamics in a heterogenous agent model under changes in growth expectations
The main goal of this project is to understand the effects of declining expectations about future economic growth rates on financial instability. As a first step, a heterogenous agent model of a stylised stock market is analysed. Such models are useful tools to model endogenous fluctuations in financial markets, caused by self-reinforcing dynamics of trend-following trading strategies. In the presented work, the focus is on the reaction of such model dynamics to an external shock, caused by the decline of expected future dividend growth rates. The dynamic is modelled with two representative trader types, fundamentalists and chartists, as well as evolutionary switching behaviour between the two strategies. Preliminary results of stability analysis and numerical simulations are presented.