Model Building and Applications of the Multi-Asset Heterogeneous Agent Models from Positivism

Compared with traditional economics models which is under the representative agent and rational expectation assumptions, the heterogeneous agent models (HAMs) developed over the last two decades provides a systematic approach to study the heterogeneous behaviors. HAMs create the possibility to empirically study heterogeneous agents by using the macro data. In this propose, we are from positivism to propose a general HAM by introducing a multi-asset portfolio selection problem for the agents. In addition, we introduce a more general trading cost structure to correspond to various transaction types existed in real markets. Therefore, the research can contribute to both the HAM literature and the heterogeneous agents’ literature.

Project ID:PF10607-0659
External Project ID:MOST106-2410-H182-001