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Heterogeneous Agent Model of Housing Market in Ireland
Teichman, Jiří ; Kukačka, Jiří (advisor) ; Jašová, Martina (referee)
This thesis studies the housing market in Ireland within the Heterogeneous Agent Model (HAM) framework. The choice of Ireland for empirical research is motivated by the impact of the recent property bubble on whole Irish economy. At first, the thesis shows general features of HAMs and provides overview of relevant literature. Subsequent survey of behavioral aspects influencing market agents suggests presence of heterogeneity on housing markets. The behavioral evidence for heterogeneity shows why HAMs are good choice for studying those markets. For estimation of the model, we use the Irish data covering the period between 1978 and 2014. Important feature of the HAM used in this thesis is the switching between fundamental and momentum strategies. Because the fundamental value has crucial role in the model, we considered its four approx- imations in our estimations. The estimation results imply that the housing market agents in Ireland are heterogeneous. Interestingly, the nature of strate- gies used by the agents in the estimated model are dependent on the method of fundamental value approximation. Additionally, the agents switch to the strategy which performed better in previous periods. The simulations with estimated models are able to replicate the market fluctuations. Moreover, the simulations show...
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Prospect Theory and Inertia in a Heterogeneous Agent Model
Polách, Jan ; Kukačka, Jiří (advisor) ; Klinger, Tomáš (referee)
Using the Heterogeneous Agent Model framework, we develop and incorporate an extension based on Prospect Theory into a popular agent-based asset pric- ing model. The extension covers the phenomenon of loss aversion manifested mainly in risk aversion and asymmetric treatment of gains and losses. Ad- ditionally, we explore a special case of the model's intrinsic dynamics termed Asynchronous Updating that affects agents' selection of trading strategies and mimics the investor inertia effect. Using Monte Carlo methods, we investigate behavior and statistical properties of the extended versions of the model and assess relevance of the extensions with respect to empirical data and stylized facts of financial time series. We find that the Prospect Theory extension is fea- sible, that it keeps the essential underlying mechanics of the model intact, and that it changes the model's dynamics considerably. Moreover, the extension shifts the model closer to the behavior of real-world stock markets. Contrar- ily, the Asynchronous Updating feature does not produce statistically different empirical distributions of most of the main variables. However, it dramati- cally increases chances of fundamentalists to survive in the market even when changes to more profitable strategies are increasingly facile. Bibliographic...
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Behavioural Breaks in the Heterogeneous Agent Model
Kukačka, Jiří ; Baruník, Jozef (advisor) ; Víšek, Jan Ámos (referee)
This thesis merges the fields of Heterogeneous Agent Models (HAMs) and Be- havioural Finance in order to bridge the main deficiencies of both approaches and to examine whether they can complement one another. Our approach suggests an alternative tool for examining HAM price dynamics and brings an original way of dealing with problematic empirical validation. First, we present the original model and discuss various extensions and attempts at empirical estimation. Next, we develop a unique benchmark dataset, covering five par- ticularly turbulent U.S. stock market periods, and reveal an interesting pattern in this data. The main body applies a numerical analysis of the HAM extended with the selected Behavioural Finance findings: herding, overconfidence, and market sentiment. Using Wolfram Mathematica we perform Monte Carlo simu- lations of a developed algorithm. We show that the selected findings can be well modelled via the HAM and that they extend the original HAM considera- bly. Various HAM modifications lead to significantly different results and HAM is also able to partially replicate price behaviour during turbulent stock market periods. Bibliographic Record Kukačka, J. (2012): Behavioural Breaks in the Heterogeneous Agent Model. Rigorous thesis, Charles University in Prague, Faculty of Social...
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Behavioural Breaks in the Heterogeneous Agent Model
Kukačka, Jiří ; Baruník, Jozef (advisor) ; Víšek, Jan Ámos (referee)
This thesis merges the fields of Heterogeneous Agent Models (HAMs) and Be- havioural Finance in order to bridge the main deficiencies of both approaches and to examine whether they can complement one another. Our approach suggests an alternative tool for examining HAM price dynamics and brings an original way of dealing with problematic empirical validation. First, we present the original model and discuss various extensions and attempts at empirical estimation. Next, we develop a unique benchmark dataset, covering five par- ticularly turbulent U.S. stock market periods, and reveal an interesting pattern in this data. The main body applies a numerical analysis of the HAM extended with the selected Behavioural Finance findings: herding, overconfidence, and market sentiment. Using Wolfram Mathematica we perform Monte Carlo sim- ulations of a developed algorithm. We show that the selected findings can be well modelled via the HAM and that they extend the original HAM consider- ably. Various HAM modifications lead to significantly different results and HAM is also able to partially replicate price behaviour during turbulent stock market periods. Bibliographic Record Kukačka, J. (2011): Behavioural Breaks in the Heterogeneous Agent Model. Master thesis, Charles University in Prague, Faculty of Social Sciences,...
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