Cross-section instability in financial markets: impatience, extrapolation, and switching
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DOI: 10.1007/s10203-021-00348-5
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- Gao, Xing & Ladley, Daniel, 2022. "Statistical arbitrage and risk contagion," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
- Serena Brianzoni & Giovanni Campisi & Graziella Pacelli, 2023. "Coexisting Attractors in a Heterogeneous Agent Model in Discrete Time," Mathematics, MDPI, vol. 11(10), pages 1-12, May.
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More about this item
Keywords
Heterogeneous beliefs; Asset pricing; Portfolio choice; Strategy switching; Bifurcation analysis;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- 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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