Excess covariance and dynamic instability in a multi-asset model
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DOI: 10.1016/j.jedc.2012.03.015
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- Anufriev, M. & Bottazzi, G. & Marsili, M. & Pin, P., 2011. "Excess Covariance and Dynamic Instability in a Multi-Asset Model," CeNDEF Working Papers 11-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
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Citations
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- Guillaume Coqueret, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02312186, HAL.
- Dindo, Pietro & Staccioli, Jacopo, 2018. "Asset prices and wealth dynamics in a financial market with random demand shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 95(C), pages 187-210.
- Guillaume Coqueret, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02000726, HAL.
- Pietro Dindo & Jacopo Staccioli, 2017.
"Asset prices and wealth dynamics in a financial market with endogenous liquidation risk,"
LEM Papers Series
2017/33, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Pietro Dindo & Jacopo Staccioli, 2017. "Asset prices and wealth dynamics in a financial market with endogenous liquidation risk," Working Papers 2017:31, Department of Economics, University of Venice "Ca' Foscari".
- Schmitt, Noemi & Westerhoff, Frank, 2014.
"Speculative behavior and the dynamics of interacting stock markets,"
Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 262-288.
- Schmitt, Noemi & Westerhoff, Frank, 2013. "Speculative behavior and the dynamics of interacting stock markets," BERG Working Paper Series 90, Bamberg University, Bamberg Economic Research Group.
- Coqueret, Guillaume, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 180-201.
- Mikhail Anufriev & Davide Radi & Fabio Tramontana, 2018. "Some reflections on past and future of nonlinear dynamics in economics and finance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 91-118, November.
- Guillaume Coqueret & Bertrand Tavin, 2019. "Procedural rationality, asset heterogeneity and market selection," Post-Print hal-02312310, HAL.
- Thomas Holtfort, 2019. "From standard to evolutionary finance: a literature survey," Management Review Quarterly, Springer, vol. 69(2), pages 207-232, June.
- Coqueret, Guillaume & Tavin, Bertrand, 2019. "Procedural rationality, asset heterogeneity and market selection," Journal of Mathematical Economics, Elsevier, vol. 82(C), pages 125-149.
- Guillaume Coqueret, 2016. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02088097, HAL.
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More about this item
Keywords
Excess covariance; Capital asset pricing model; Efficient market hypothesis; Heterogeneous agents; Procedurally consistent equilibrium;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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