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