Research Article
Wealth Share Analysis with “Fundamentalist/Chartist” Heterogeneous Agents
Table 1
The parameters of basic model.
| Parameter | Value |
| Number of risky assets | 3 | Number of agents | 40 | Number of fundamentalists | 20 | Number of chartists | 20 | Initial cash | 10 | Initial stock positions | 1 | The minimum stock positions | −5 | The maximum stock positions | 10 | The initial dividend | 0.002 | Dividend growth rate | 0.001 | The standard deviation of dividend growth rate | 0.01 | Random seeds | 0 | The risk-free interest rate | 0.0012 | The relative risk aversion | 3 | The max exponential moving average periods | 80 | The min exponential moving average periods | 20 | The min mean reversion parameter | 0.5 | The max mean reversion parameter | 1 | The min expected correlation coefficient | −0.2 | The max expected correlation coefficient | 0.8 | The max wealth investment proportion | 0.95 | The min wealth investment proportion | −0.95 |
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