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Impact of investor’s varying risk aversion on the dynamics of asset price fluctuations

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  • Baosheng Yuan
  • Kan Chen

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  • Baosheng Yuan & Kan Chen, 2006. "Impact of investor’s varying risk aversion on the dynamics of asset price fluctuations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 1(2), pages 189-214, November.
    • Handle: RePEc:spr:jeicoo:v:1:y:2006:i:2:p:189-214
    DOI: 10.1007/s11403-006-0011-x
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    14. Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A model of investor sentiment," Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
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    17. Levy, Moshe & Levy, Haim & Solomon, Sorin, 1994. "A microscopic model of the stock market : Cycles, booms, and crashes," Economics Letters, Elsevier, vol. 45(1), pages 103-111, May.
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    More about this item

    Keywords

    Agent-based model; Dynamic risk aversion; Asset price fluctuation; Volatility clustering; Dynamics of financial markets; Financial time series; D40; D58; G10; G12;
    All these keywords.

    JEL classification:

    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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