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Behavioral Heterogeneity in Stock Prices

Citations

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Cited by:

  1. Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2021. "Heterogeneous expectations, housing bubbles and tax policy," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 555-573.
  2. Bolt, Wilko & Demertzis, Maria & Diks, Cees & Hommes, Cars & Leij, Marco van der, 2019. "Identifying booms and busts in house prices under heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 234-259.
  3. Serena Sordi & Marwil J. Dávila-Fernández, 2020. "Investment behaviour and “bull & bear” dynamics: modelling real and stock market interactions," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(4), pages 867-897, October.
  4. Fischer, Thomas, 2011. "News reaction in financial markets within a behavioral finance model with heterogeneous agents," Darmstadt Discussion Papers in Economics 205, Darmstadt University of Technology, Department of Law and Economics.
  5. Reitz, Stefan & Rülke, Jan & Stadtmann, Georg, 2012. "Nonlinear Expectations in Speculative Markets," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62045, Verein für Socialpolitik / German Economic Association.
  6. Vipin Arora & Shuping Shi, 2013. "A Heterogenous Agent Foundation for Tests of Asset Price Bubbles," CAMA Working Papers 2013-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  7. Panchenko, Valentyn & Gerasymchuk, Sergiy & Pavlov, Oleg V., 2013. "Asset price dynamics with heterogeneous beliefs and local network interactions," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2623-2642.
  8. Palczewski, Jan & Schenk-Hoppé, Klaus Reiner & Wang, Tongya, 2016. "Itchy feet vs cool heads: Flow of funds in an agent-based financial market," Journal of Economic Dynamics and Control, Elsevier, vol. 63(C), pages 53-68.
  9. Klein, Achim & Urbig, Diemo, 2008. "Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach," MPRA Paper 116175, University Library of Munich, Germany, revised 30 Apr 2011.
  10. Schunk, Daniel & Winter, Joachim, 2009. "The relationship between risk attitudes and heuristics in search tasks: A laboratory experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 71(2), pages 347-360, August.
  11. Todd Feldman & Shuming Liu, 2018. "A New Predictive Measure Using Agent-Based Behavioral Finance," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 941-959, April.
  12. Fredj Jawadi & Georges Prat, 2012. "Arbitrage costs and nonlinear adjustment in the G7 stock markets," Applied Economics, Taylor & Francis Journals, vol. 44(12), pages 1561-1582, April.
  13. Eelke de Jong & Willem Verschoor & Remco Zwinkels, 2009. "A heterogeneous route to the European monetary system crisis," Applied Economics Letters, Taylor & Francis Journals, vol. 16(9), pages 929-932.
  14. Frijns, Bart & Zwinkels, Remco C.J., 2020. "Absence of speculation in the European sovereign debt markets," Journal of Economic Behavior & Organization, Elsevier, vol. 169(C), pages 245-265.
  15. Zhong-Qiang Zhou & Jie Li & Wei Zhang & Xiong Xiong, 2022. "Government intervention model based on behavioral heterogeneity for China’s stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-19, December.
  16. Reitz, Stefan & Rülke, Jan-Christoph & Stadtmann, Georg, 2012. "Nonlinear expectations in speculative markets – Evidence from the ECB survey of professional forecasters," Journal of Economic Dynamics and Control, Elsevier, vol. 36(9), pages 1349-1363.
  17. Nava, Noemi & Di Matteo, T. & Aste, Tomaso, 2016. "Anomalous volatility scaling in high frequency financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 434-445.
  18. Deniz Erdemlioglu & Nikola Gradojevic, 2021. "Heterogeneous investment horizons, risk regimes, and realized jumps," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 617-643, January.
  19. Cars Hommes, 2013. "Reflexivity, expectations feedback and almost self-fulfilling equilibria: economic theory, empirical evidence and laboratory experiments," Journal of Economic Methodology, Taylor & Francis Journals, vol. 20(4), pages 406-419, December.
  20. Kaizoji, Taisei & Leiss, Matthias & Saichev, Alexander & Sornette, Didier, 2015. "Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 289-310.
  21. Schmitt, Noemi, 2018. "Heterogeneous expectations and asset price dynamics," BERG Working Paper Series 134, Bamberg University, Bamberg Economic Research Group.
  22. Wigniolle, B., 2014. "Optimism, pessimism and financial bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 188-208.
  23. Mohammad Zare & Omid Naghshineh Arjmand & Erfan Salavati & Adel Mohammadpour, 2021. "An Agent‐Based model for Limit Order Book: Estimation and simulation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1112-1121, January.
  24. Adriana Cornea-Madeira & Cars Hommes & Domenico Massaro, 2019. "Behavioral Heterogeneity in U.S. Inflation Dynamics," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(2), pages 288-300, April.
  25. Anufriev, Mikhail & Bao, Te & Tuinstra, Jan, 2016. "Microfoundations for switching behavior in heterogeneous agent models: An experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 129(C), pages 74-99.
  26. Schmitt, Noemi & Westerhoff, Frank, 2021. "Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 117-136.
  27. Po-Keng Cheng & Young Shin Kim, 2017. "Speculative bubbles and crashes： Fundamentalists and positive‐feedback trading," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1381370-138, January.
  28. Po-Keng Cheng, 2020. "Listen to the Signals from an Interactive Agent-Based Model," Working Papers hal-02982908, HAL.
  29. Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2022. "Housing Markets, Expectation Formation And Interest Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 26(2), pages 491-532, March.
  30. Goldbaum, David & Mizrach, Bruce, 2008. "Estimating the intensity of choice in a dynamic mutual fund allocation decision," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3866-3876, December.
  31. Frijns, Bart & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2017. "Excess stock return comovements and the role of investor sentiment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 74-87.
  32. Kim, Hyeongwoo & Ryu, Deockhyun, 2015. "Measuring the speed of convergence of stock prices: A nonparametric and nonlinear approach," Economic Modelling, Elsevier, vol. 51(C), pages 227-241.
  33. Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2016. "Stock Market Volatility and Learning," Journal of Finance, American Finance Association, vol. 71(1), pages 33-82, February.
  34. Guillaume Coqueret, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02312186, HAL.
  35. Karlis, Alexandros & Galanis, Giorgos & Terovitis, Spyridon & Turner, Matthew, 2015. "Hedging against Risk in a Heterogeneous Leveraged Market," The Warwick Economics Research Paper Series (TWERPS) 1084, University of Warwick, Department of Economics.
  36. Campiglio, Emanuele & Lamperti, Francesco & Terranova, Roberta, 2024. "Believe me when I say green! Heterogeneous expectations and climate policy uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 165(C).
  37. Lamperti, Francesco & Roventini, Andrea & Sani, Amir, 2018. "Agent-based model calibration using machine learning surrogates," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 366-389.
  38. Xue-Zhong He & Youwei Li, 2017. "The adaptiveness in stock markets: testing the stylized facts in the DAX 30," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1071-1094, November.
  39. Roberto Dieci & Frank Westerhoff, 2012. "A simple model of a speculative housing market," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 303-329, April.
  40. Amilon, Henrik, 2008. "Estimation of an adaptive stock market model with heterogeneous agents," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 342-362, March.
  41. Makarewicz, Tomasz, 2021. "Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics," Journal of Economic Behavior & Organization, Elsevier, vol. 190(C), pages 626-673.
  42. Hommes, C.H., 2005. "Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd , Elsevier, Amsterdam 2006," CeNDEF Working Papers 05-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  43. Schmitt, Noemi & Westerhoff, Frank, 2015. "Managing rational routes to randomness," Journal of Economic Behavior & Organization, Elsevier, vol. 116(C), pages 157-173.
  44. Matthijs Lof, 2015. "Rational Speculators, Contrarians, and Excess Volatility," Management Science, INFORMS, vol. 61(8), pages 1889-1901, August.
  45. Georges Prat, 2010. "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," Working Papers hal-04140905, HAL.
  46. Lux, Thomas, 2017. "Estimation of agent-based models using sequential Monte Carlo methods," Economics Working Papers 2017-07, Christian-Albrechts-University of Kiel, Department of Economics.
  47. Michael Wegener & Frank Westerhoff, 2012. "Evolutionary competition between prediction rules and the emergence of business cycles within Metzler’s inventory model," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 251-273, April.
  48. Joëts, Marc, 2015. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," European Journal of Operational Research, Elsevier, vol. 247(1), pages 204-215.
  49. Zhenxi Chen, 2020. "Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach," Manchester School, University of Manchester, vol. 88(2), pages 262-281, March.
  50. Hommes, Cars & in ’t Veld, Daan, 2017. "Booms, busts and behavioural heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
  51. Nakov, Anton & Nuño, Galo, 2015. "Learning from experience in the stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 224-239.
  52. Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011. "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 148-162, January.
  53. repec:hal:spmain:info:hdl:2441/13thfd12aa8rmplfudlgvgahff is not listed on IDEAS
  54. Mario A Bertella & Felipe R Pires & Ling Feng & Harry Eugene Stanley, 2014. "Confidence and the Stock Market: An Agent-Based Approach," PLOS ONE, Public Library of Science, vol. 9(1), pages 1-9, January.
  55. Liu, Chunping & Minford, Patrick, 2014. "Comparing behavioural and rational expectations for the US post-war economy," Economic Modelling, Elsevier, vol. 43(C), pages 407-415.
  56. KevinJ. Lansing, 2010. "Rational and Near-Rational Bubbles Without Drift," Economic Journal, Royal Economic Society, vol. 120(549), pages 1149-1174, December.
  57. Vivien Lespagnol & Juliette Rouchier, 2014. "Trading volume and market efficiency: an Agent Based Model with heterogenous knowledge about fundamentals," AMSE Working Papers 1419, Aix-Marseille School of Economics, France, revised May 2014.
  58. Zhenxi Chen & Weihong Huang & Huanhuan Zheng, 2018. "Estimating heterogeneous agents behavior in a two-market financial system," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(3), pages 491-510, October.
  59. Changtai Li & Weihong Huang & Wei-Siang Wang & Wai-Mun Chia, 2023. "Price Change and Trading Volume: Behavioral Heterogeneity in Stock Market," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 677-713, February.
  60. Li, Mengling & Zheng, Huanhuan & Tai Leung Chong, Terence & Zhang, Yang, 2016. "The stock–bond comovements and cross-market trading," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 417-438.
  61. Arouri, Mohamed El Hédi & Jawadi, Fredj & Nguyen, Duc Khuong, 2012. "Nonlinearities in carbon spot-futures price relationships during Phase II of the EU ETS," Economic Modelling, Elsevier, vol. 29(3), pages 884-892.
  62. Johannes M. Lehner & David McMillan, 2015. "Making sense in asset markets: Strategies for Implicit Organizations," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1024022-102, December.
  63. Hommes, C.H. & Wagener, F.O.O., 2008. "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers 08-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  64. Hommes, C.H., 2006. "Interacting agents in finance, entry written for the New Palgrave Dictionary of Economics, Second Edition, edited by L. Blume and S. Durlauf, Palgrave Macmillan, forthcoming 2006," CeNDEF Working Papers 06-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  65. Kukacka, Jiri & Jang, Tae-Seok & Sacht, Stephen, 2018. "On the estimation of behavioral macroeconomic models via simulated maximum likelihood," Economics Working Papers 2018-11, Christian-Albrechts-University of Kiel, Department of Economics.
  66. Alfredo Omar Palafox-Roca & Francisco Venegas-martínez, 2014. "Average consumer decisions in an economy with heterogeneous subjective discount rates and risk aversion coefficients: the finite horizon case," Economics Bulletin, AccessEcon, vol. 34(2), pages 842-849.
  67. Lines, Marji & Westerhoff, Frank, 2010. "Inflation expectations and macroeconomic dynamics: The case of rational versus extrapolative expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 246-257, February.
  68. repec:bla:germec:v:10:y:2009:i::p:270-283 is not listed on IDEAS
  69. Tae-Seok Jang & Stephen Sacht, 2016. "Animal Spirits and the Business Cycle: Empirical Evidence from Moment Matching," Metroeconomica, Wiley Blackwell, vol. 67(1), pages 76-113, February.
  70. Cars Hommes & Anita Kopányi-Peuker & Joep Sonnemans, 2021. "Bubbles, crashes and information contagion in large-group asset market experiments," Experimental Economics, Springer;Economic Science Association, vol. 24(2), pages 414-433, June.
  71. Hommes, Cars, 2011. "The heterogeneous expectations hypothesis: Some evidence from the lab," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 1-24, January.
  72. Fredj Jawadi & Souhir Chlibi & Abdoulkarim Idi Cheffou, 2019. "Computing stock price comovements with a three-regime panel smooth transition error correction model," Annals of Operations Research, Springer, vol. 274(1), pages 331-345, March.
  73. Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
  74. Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana V. Stern, 2016. "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 363-386, December.
  75. Yamamoto, Ryuichi, 2019. "Dynamic Predictor Selection And Order Splitting In A Limit Order Market," Macroeconomic Dynamics, Cambridge University Press, vol. 23(5), pages 1757-1792, July.
  76. Kukacka, Jiri & Sacht, Stephen, 2023. "Estimation of heuristic switching in behavioral macroeconomic models," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
  77. Jacob Grazzini & Matteo Richiardi & Lisa Sella, 2012. "Indirect estimation of agent-based models.An application to a simple diffusion model," LABORatorio R. Revelli Working Papers Series 118, LABORatorio R. Revelli, Centre for Employment Studies.
  78. Jakob Grazzini, 2011. "Consistent Estimation of Agent Based Models," LABORatorio R. Revelli Working Papers Series 110, LABORatorio R. Revelli, Centre for Employment Studies.
  79. Filippo Gusella & Giorgio Ricchiuti, 2021. "State Space Model to Detect Cycles in Heterogeneous Agents Models," Working Papers - Economics wp2021_10.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  80. Lucas Fievet & Didier Sornette, 2018. "Calibrating emergent phenomena in stock markets with agent based models," PLOS ONE, Public Library of Science, vol. 13(3), pages 1-17, March.
  81. Fabio Tramontana & Laura Gardini & Frank Westerhoff, 2011. "Heterogeneous Speculators and Asset Price Dynamics: Further Results from a One-Dimensional Discontinuous Piecewise-Linear Map," Computational Economics, Springer;Society for Computational Economics, vol. 38(3), pages 329-347, October.
  82. Fredj Jawadi, 2009. "Essay in dividend modelling and forecasting: does nonlinearity help?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1329-1343.
  83. De Grauwe, Paul & Markiewicz, Agnieszka, 2013. "Learning to forecast the exchange rate: Two competing approaches," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 42-76.
  84. Yingyi Hu, 2019. "Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market," Annals of Operations Research, Springer, vol. 281(1), pages 253-274, October.
  85. Simone Berardi & Gabriele Tedeschi, 2016. "How banks’ strategies influence financial cycles: An approach to identifying micro behavior," Working Papers 2016/24, Economics Department, Universitat Jaume I, Castellón (Spain).
  86. Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 661-695, October.
  87. repec:hal:spmain:info:hdl:2441/20hflp7eqn97boh50no50tv67n is not listed on IDEAS
  88. Feldman, Todd & Friedman, Daniel, 2008. "Humans, Robots and Market Crashes: A Laboratory Study ∗," Santa Cruz Department of Economics, Working Paper Series qt4kf382p6, Department of Economics, UC Santa Cruz.
  89. Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2015. "A calibration procedure for analyzing stock price dynamics in an agent-based framework," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 1-25.
  90. Hommes, Cars H., 2014. "Behaviorally Rational Expectations and Almost Self-Fulfilling Equilibria," Review of Behavioral Economics, now publishers, vol. 1(1-2), pages 75-97, January.
  91. Chen, Zhenxi, 2016. "Regimes dependent speculative trading: Evidence from the United States housing market," FinMaP-Working Papers 66, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  92. Lux, Thomas, 2012. "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1284-1302.
  93. Andreas Fritz & Michael Stein & Christoph Weber, 2015. "The Role of Heterogeneous Agents in Fuel Markets: Testing Tales of Speculators in Oil Markets," EWL Working Papers 1505, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Aug 2015.
  94. Chen, Zhenxi & Lien, Donald & Lin, Yaheng, 2021. "Sentiment: The bridge between financial markets and macroeconomy," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 1177-1190.
  95. Zhang, Tongbin, 2021. "Stock prices and the risk-free rate: An internal rationality approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  96. JAWADI Fredj, 2008. "Does nonlinear econometrics confirm the macroeconomic models of consumption?," Economics Bulletin, AccessEcon, vol. 5(17), pages 1-11.
  97. Takashi Nishiwaki, "undated". "On the Stability of Equilibrium in the Market with Heterogeneous Investment Horizons," Working Papers 2101, Waseda University, Faculty of Political Science and Economics.
  98. repec:ctc:serie1:def7 is not listed on IDEAS
  99. Kim, Young Se, 2009. "Exchange rates and fundamentals under adaptive learning," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 843-863, April.
  100. Klaus Adam & Albert Marcet & Johannes Beutel, 2017. "Stock Price Booms and Expected Capital Gains," American Economic Review, American Economic Association, vol. 107(8), pages 2352-2408, August.
  101. Melody Y. Huang & Randall R. Rojas & Patrick D. Convery, 2020. "Forecasting stock market movements using Google Trend searches," Empirical Economics, Springer, vol. 59(6), pages 2821-2839, December.
  102. Hommes, Cars & Kiseleva, Tatiana & Kuznetsov, Yuri & Verbic, Miroslav, 2012. "Is More Memory In Evolutionary Selection (De)Stabilizing?," Macroeconomic Dynamics, Cambridge University Press, vol. 16(3), pages 335-357, June.
  103. Reitz, Stefan & Pierdzioch, Christian & Rülke, Jan-Christoph, 2015. "Nonlinear Expectation Formation in the U.S. Stock Market," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113210, Verein für Socialpolitik / German Economic Association.
  104. Cifarelli, Giulio & Paladino, Giovanna, 2018. "Can the interaction between a single long-term attractor and heterogeneous trading explain exchange rate behaviour? A nonlinear econometric investigation," MPRA Paper 83894, University Library of Munich, Germany.
  105. Ji, Jingru & Wang, Donghua & Xu, Dinghai, 2019. "Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market," Economic Modelling, Elsevier, vol. 80(C), pages 383-391.
  106. Luisa Corrado & Tobias Schuler, 2018. "Financial Cycles, Credit Bubbles and Stabilization Policies," CESifo Working Paper Series 7422, CESifo.
  107. Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan, 2012. "Estimating behavioural heterogeneity under regime switching," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 446-460.
  108. Mengling Li & Huanhuan Zheng, 2017. "Heterogeneous trading and complex price dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 437-442, July.
  109. Pierdzioch, Christian & Reitz, Stefan & Ruelke, Jan-Christoph, 2015. "Nonlinear expectation formation in the U.S. stock market: Empirical evidence from the Livingston survey," Kiel Working Papers 1947 [rev.], Kiel Institute for the World Economy (IfW Kiel).
  110. Makarewicz, Tomasz, 2019. "Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics," BERG Working Paper Series 141, Bamberg University, Bamberg Economic Research Group.
  111. Zhentao Shi & Huanhuan Zheng, 2018. "Structural estimation of behavioral heterogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 690-707, August.
  112. Zhang, Wei & Zhou, Zhong-Qiang & Xiong, Xiong, 2019. "Behavioral heterogeneity and excess stock price volatility in China," Finance Research Letters, Elsevier, vol. 28(C), pages 348-354.
  113. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2009. "More hedging instruments may destabilize markets," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1912-1928, November.
  114. Stefan Reitz & Ulf Slopek, 2009. "Non‐Linear Oil Price Dynamics: A Tale of Heterogeneous Speculators?," German Economic Review, Verein für Socialpolitik, vol. 10(3), pages 270-283, August.
  115. Adriana Cornea‐Madeira & João Madeira, 2022. "Econometric Analysis of Switching Expectations in UK Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 651-673, June.
  116. Bart Frijns & Aaron Gilbert & Alireza Tourani-Rad, 2011. "Heterogeneity and sentiment in the stock market," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 140-151.
  117. Filippo Gusella, 2022. "Detecting And Measuring Financial Cycles In Heterogeneous Agents Models: An Empirical Analysis," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 25(02n03), pages 1-22, March.
  118. Lamperti, Francesco & Roventini, Andrea & Sani, Amir, 2018. "Agent-based model calibration using machine learning surrogates," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 366-389.
  119. Xue-Zhong He, 2012. "Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets," Research Paper Series 316, Quantitative Finance Research Centre, University of Technology, Sydney.
  120. Vivien Lespagnol & Juliette Rouchier, 2015. "What Is the Impact of Heterogeneous Knowledge About Fundamentals on Market Liquidity and Efficiency: An ABM Approach," Lecture Notes in Economics and Mathematical Systems, in: Frédéric Amblard & Francisco J. Miguel & Adrien Blanchet & Benoit Gaudou (ed.), Advances in Artificial Economics, edition 127, pages 105-117, Springer.
  121. Cars Hommes, 2010. "The heterogeneous expectations hypothesis: some evidence from the lab," Post-Print hal-00753041, HAL.
  122. Dammak, Wael & Boutouria, Nahla & Ben Hamad, Salah & de Peretti, Christian, 2023. "Investor behavior in the currency option market during the COVID-19 pandemic," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
  123. Menkhoff, Lukas & Rebitzky, Rafael R. & Schröder, Michael, 2009. "Heterogeneity in exchange rate expectations: Evidence on the chartist-fundamentalist approach," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 241-252, May.
  124. Mikhail Anufriev & Te Bao & Angela Sutan & Jan Tuinstra, 2015. "Fee structure, return chasing and mutual fund choice: an experiment," Working Paper Series 30, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
  125. Nishiwaki, Takashi, 2022. "Impact of different investment horizons in heterogeneous agent models: Do long-term traders bring market stability?," Journal of Economic Behavior & Organization, Elsevier, vol. 196(C), pages 393-401.
  126. Prat, Georges, 2013. "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, vol. 34(C), pages 76-88.
  127. Filippo Gusella, 2019. "Modelling Minskyan financial cycles with fundamentalist and extrapolative price strategies: An empirical analysis via the Kalman filter approach," Working Papers - Economics wp2019_24.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  128. Cifarelli, Giulio & Paladino, Giovanna, 2018. "Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?," Research in International Business and Finance, Elsevier, vol. 46(C), pages 313-323.
  129. Hu, Yingyi & Zhao, Tiao & Zhang, Lin, 2020. "Noise trading, institutional trading, and opinion divergence: Evidence on intraday data in the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 74-89.
  130. Humayun Kabir, M. & Shakur, Shamim, 2018. "Regime-dependent herding behavior in Asian and Latin American stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 47(C), pages 60-78.
  131. Lee, Adrian D. & Li, Mengling & Zheng, Huanhuan, 2020. "Bitcoin: Speculative asset or innovative technology?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
  132. Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2017. "Validation of Agent-Based Models in Economics and Finance," LEM Papers Series 2017/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  133. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
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  135. Sommervoll, Dag Einar & Borgersen, Trond-Arne & Wennemo, Tom, 2010. "Endogenous housing market cycles," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 557-567, March.
  136. Yamamoto, Ryuichi & Hirata, Hideaki, 2013. "Strategy switching in the Japanese stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 37(10), pages 2010-2022.
  137. Chiarella, Carl & ter Ellen, Saskia & He, Xue-Zhong & Wu, Eliza, 2015. "Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 19-34.
  138. Grazzini, Jakob & Richiardi, Matteo, 2015. "Estimation of ergodic agent-based models by simulated minimum distance," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 148-165.
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  140. Franke, Reiner & Westerhoff, Frank, 2012. "Structural stochastic volatility in asset pricing dynamics: Estimation and model contest," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1193-1211.
  141. Bolt, W. & Demertzis, D. & Diks, C.G.H. & Van der Leij, M.J., 2011. "Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices," CeNDEF Working Papers 11-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  142. Dieci, Roberto & Westerhoff, Frank, 2010. "Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 743-764, April.
  143. Franke, Reiner, 2010. "On the specification of noise in two agent-based asset pricing models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1140-1152, June.
  144. Frank Westerhoff, 2012. "Interactions between the Real Economy and the Stock Market: A Simple Agent-Based Approach," Discrete Dynamics in Nature and Society, Hindawi, vol. 2012, pages 1-21, July.
  145. Mohamed el hédi Arouri & Fredj Jawadi, 2011. "Do on/off time series models reproduce emerging stock market comovements?," Economics Bulletin, AccessEcon, vol. 31(1), pages 960-968.
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  147. Sarah Mignot & Fabio Tramontana & Frank Westerhoff, 2021. "Speculative asset price dynamics and wealth taxes," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 641-667, December.
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  152. Chiarella, Carl & He, Xue-Zhong & Zwinkels, Remco C.J., 2014. "Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500," Journal of Economic Behavior & Organization, Elsevier, vol. 105(C), pages 1-16.
  153. Aragón, Nicolás & Roulund, Rasmus Pank, 2020. "Confidence and decision-making in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 688-718.
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  155. Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 34-53.
  156. Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2010. "On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders," Journal of Economic Behavior & Organization, Elsevier, vol. 74(3), pages 187-205, June.
  157. Huang, Weihong & Zheng, Huanhuan & Chia, Wai-Mun, 2010. "Financial crises and interacting heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1105-1122, June.
  158. Cavalli, F. & Chen, H.-J. & Li, M.-C. & Naimzada, A. & Pecora, N., 2023. "Heterogeneous expectations and equilibria selection in an evolutionary overlapping generations model," Journal of Mathematical Economics, Elsevier, vol. 104(C).
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  160. Abderrahmen Aloulou & Siwar Ellouze, 2017. "Does fundamental value run asset price formation process? Evidence from option price information content," Journal of Asset Management, Palgrave Macmillan, vol. 18(4), pages 255-268, July.
  161. Ellen, Saskia ter & Zwinkels, Remco C.J., 2010. "Oil price dynamics: A behavioral finance approach with heterogeneous agents," Energy Economics, Elsevier, vol. 32(6), pages 1427-1434, November.
  162. Diks, Cees & Dindo, Pietro, 2008. "Informational differences and learning in an asset market with boundedly rational agents," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1432-1465, May.
  163. Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
  164. Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018. "Market entry waves and volatility outbursts in stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.
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  167. Min Zheng & Duo Wang & Xue-Zhong He, 2009. "Asymmetry of technical analysis and market price volatility," Published Paper Series 2009-6, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  168. H. Dewachter & R. Houssa & M. Lyrio & P.R. Kaltwasser, 2011. "Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics," Review of Business and Economic Literature, Intersentia, vol. 56(4), pages 454-472, December.
  169. Dieci, Roberto & Westerhoff, Frank, 2011. "On the inherent instability of international financial markets: Natural nonlinear interactions between stock and foreign exchange markets," BERG Working Paper Series 79, Bamberg University, Bamberg Economic Research Group.
  170. Francesco Lamperti, 2018. "Empirical validation of simulated models through the GSL-div: an illustrative application," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(1), pages 143-171, April.
  171. Westerhoff, Frank, 2011. "Interactions between the real economy and the stock market," BERG Working Paper Series 84, Bamberg University, Bamberg Economic Research Group.
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  174. Yu Zhang & Weihong Huang, 2018. "Impact of strategy switching on wealth accumulation," Journal of Evolutionary Economics, Springer, vol. 28(4), pages 961-983, September.
  175. Martin Carolin & Westerhoff Frank, 2019. "Regulating Speculative Housing Markets via Public Housing Construction Programs: Insights from a Heterogeneous Agent Model," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(4), pages 627-660, August.
  176. Tiziana Assenza & William A. Brock & Cars H. Hommes, 2017. "Animal Spirits, Heterogeneous Expectations, And The Amplification And Duration Of Crises," Economic Inquiry, Western Economic Association International, vol. 55(1), pages 542-564, January.
  177. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186, Elsevier.
  178. Wai-Mun Chia & Mengling Li & Huanhuan Zheng, 2017. "Behavioral heterogeneity in the Australian housing market," Applied Economics, Taylor & Francis Journals, vol. 49(9), pages 872-885, February.
  179. Anufriev, Mikhail & Bao, Te & Sutan, Angela & Tuinstra, Jan, 2019. "Fee structure and mutual fund choice: An experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 158(C), pages 449-474.
  180. Bart Frijns & Ivan Indriawan, 2018. "Behavioural heterogeneity in the New Zealand stock market," New Zealand Economic Papers, Taylor & Francis Journals, vol. 52(1), pages 53-71, January.
  181. Schunk, Daniel, 2009. "Behavioral heterogeneity in dynamic search situations: Theory and experimental evidence," Journal of Economic Dynamics and Control, Elsevier, vol. 33(9), pages 1719-1738, September.
  182. Frank Westerhoff & Martin Hohnisch, 2007. "A note on interactions-driven business cycles," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 2(1), pages 85-91, June.
  183. Hommes, Cars, 2018. "Behavioral & experimental macroeconomics and policy analysis: a complex systems approach," Working Paper Series 2201, European Central Bank.
  184. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 13, July-Dece.
  185. Kozhan, Roman & Salmon, Mark, 2009. "Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1106-1122, May.
  186. Zhao, Dongxu & Li, Kai, 2022. "Bounded rationality, adaptive behaviour, and asset prices," International Review of Financial Analysis, Elsevier, vol. 80(C).
  187. Demary Markus, 2008. "Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 228-250, April.
  188. Vivien Lespagnol & Juliette Rouchier, 2018. "Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 991-1020, April.
  189. Blake LeBaron, 2021. "Microconsistency in Simple Empirical Agent-Based Financial Models," Computational Economics, Springer;Society for Computational Economics, vol. 58(1), pages 83-101, June.
  190. Fredj Jawadi & Mohamed Hedi Arouri & Duc Khuong Nguyen, 2010. "Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions," Applied Financial Economics, Taylor & Francis Journals, vol. 20(8), pages 669-680.
  191. Lux, Thomas, 2018. "Estimation of agent-based models using sequential Monte Carlo methods," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 391-408.
  192. Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
  193. Charles S. Tapiero, 2015. "A financial CCAPM and economic inequalities," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 521-534, March.
  194. Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2015. "A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 108(C), pages 16-40.
  195. Guillaume Coqueret, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02000726, HAL.
  196. Zheng, Min & Wang, Hefei & Wang, Chengzhang & Wang, Shouyang, 2017. "Speculative behavior in a housing market: Boom and bust," Economic Modelling, Elsevier, vol. 61(C), pages 50-64.
  197. 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.
  198. Bolt, Wilko & Demertzis, Maria & Diks, Cees & Hommes, Cars & Leij, Marco van der, 2019. "Identifying booms and busts in house prices under heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 234-259.
  199. Ryuichi Yamamoto, 2022. "Predictor Choice, Investor Types, and the Price Impact of Trades on the Tokyo Stock Exchange," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 325-356, January.
  200. Ya-Chi Huang & Chueh-Yung Tsao, 2018. "Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 821-846, April.
  201. Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2010. "Behavioral heterogeneity in the option market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2273-2287, November.
  202. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2014, January-A.
  203. Domenico Colucci & Matteo Vigna & Vincenzo Valori, 2022. "Large and uncertain heterogeneity of expectations: stability of equilibrium from a policy maker standpoint," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 319-348, January.
  204. Cees Diks & Cars Hommes & Juanxi Wang, 2019. "Critical slowing down as an early warning signal for financial crises?," Empirical Economics, Springer, vol. 57(4), pages 1201-1228, October.
  205. Huanhuan Zheng & Haiqiang Chen, 2019. "Price informativeness and adaptive trading," Journal of Evolutionary Economics, Springer, vol. 29(4), pages 1315-1342, September.
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  207. Cars Hommes, 2006. "Interacting Agents in Finance," Tinbergen Institute Discussion Papers 06-029/1, Tinbergen Institute.
  208. Adam Majewski & Stefano Ciliberti & Jean-Philippe Bouchaud, 2018. "Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model," Papers 1807.11751, arXiv.org.
  209. Georges, Christophre, 2008. "Staggered updating in an artificial financial market," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2809-2825, September.
  210. Goldbaum, David & Zwinkels, Remco C.J., 2014. "An empirical examination of heterogeneity and switching in foreign exchange markets," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 667-684.
  211. Diks, Cees & Wang, Juanxi, 2016. "Can a stochastic cusp catastrophe model explain housing market crashes?," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 68-88.
  212. Tolhurst, Tor N., 2018. "A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines," 2018 Annual Meeting, August 5-7, Washington, D.C. 274387, Agricultural and Applied Economics Association.
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  214. Kampouridis, Michael & Chen, Shu-Heng & Tsang, Edward, 2012. "Market fraction hypothesis: A proposed test," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 41-54.
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  217. Mirza Faizan Ahmed, 2019. "Estimating proportion of noise traders and asset prices," Business Review, School of Economics and Social Sciences, IBA Karachi, vol. 14(2), pages 1-12, July-Dece.
  218. Mignot, Sarah & Pellizzari, Paolo & Westerhoff, Frank H., 2024. "Fake news and asset price dynamics," BERG Working Paper Series 192, Bamberg University, Bamberg Economic Research Group.
  219. Tubbenhauer, Tobias & Fieberg, Christian & Poddig, Thorsten, 2021. "Multi-agent-based VaR forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
  220. Kukacka, Jiri & Barunik, Jozef, 2017. "Estimation of financial agent-based models with simulated maximum likelihood," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 21-45.
  221. Haiyang Wang & Zhen Wu, 2014. "Partially Observed Time-Inconsistency Recursive Optimization Problem and Application," Journal of Optimization Theory and Applications, Springer, vol. 161(2), pages 664-687, May.
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  224. Sander van der Hoog, 2017. "Deep Learning in (and of) Agent-Based Models: A Prospectus," Papers 1706.06302, arXiv.org.
  225. Mikhail Anufriev & Cars Hommes, 2012. "Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments," American Economic Journal: Microeconomics, American Economic Association, vol. 4(4), pages 35-64, November.
  226. Majewski, Adam A. & Ciliberti, Stefano & Bouchaud, Jean-Philippe, 2020. "Co-existence of trend and value in financial markets: Estimating an extended Chiarella model," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
  227. Hommes, Cars & Vroegop, Joris, 2019. "Contagion between asset markets: A two market heterogeneous agents model with destabilising spillover effects," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 314-333.
  228. Saskia ter Ellen & Willem F. C. Verschoor, 2018. "Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence," Dynamic Modeling and Econometrics in Economics and Finance, in: Fredj Jawadi (ed.), Uncertainty, Expectations and Asset Price Dynamics, pages 53-79, Springer.
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  231. Lof, Matthijs, 2012. "Heterogeneity in stock prices: A STAR model with multivariate transition function," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1845-1854.
  232. Peter C. Dawson, 2015. "The capital asset pricing model in economic perspective," Applied Economics, Taylor & Francis Journals, vol. 47(6), pages 569-598, February.
  233. de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2009. "Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1929-1944, November.
  234. Roberto Dieci & Xue-Zhong He, 2021. "Cross-section instability in financial markets: impatience, extrapolation, and switching," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 727-754, December.
  235. Tedeschi, Gabriele & Recchioni, Maria Cristina & Berardi, Simone, 2019. "An approach to identifying micro behavior: How banks’ strategies influence financial cycles," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 329-346.
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  238. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015, January-A.
  239. Lines Marji & Westerhoff Frank, 2012. "Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-30, October.
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  241. Lamperti, Francesco, 2018. "An information theoretic criterion for empirical validation of simulation models," Econometrics and Statistics, Elsevier, vol. 5(C), pages 83-106.
  242. 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.
  243. Dercole, Fabio & Radi, Davide, 2020. "Does the “uptick rule” stabilize the stock market? Insights from adaptive rational equilibrium dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).
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  245. Mouna Abdelhédi-Zouch & Mouna Boujelbène Abbes & Younès Boujelbène, 2015. "Volatility Spillover And Investor Sentiment: Subprime Crisis," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 83-101.
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  247. Vivien Lespagnol & Juliette Rouchier, 2018. "Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals," Post-Print hal-02084910, HAL.
  248. Anufriev, M. & Tuinstra, J. & Bao, T., 2013. "Fund Choice Behavior and Estimation of Switching Models: An Experiment," CeNDEF Working Papers 13-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  249. Anufriev, Mikhail & Chernulich, Aleksei & Tuinstra, Jan, 2018. "A laboratory experiment on the heuristic switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 21-42.
  250. Dieci, Roberto & Westerhoff, Frank, 2015. "Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear dynamics approach," BERG Working Paper Series 99, Bamberg University, Bamberg Economic Research Group.
  251. Grazzini Jakob, 2011. "Estimating Micromotives from Macrobehavior," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201111, University of Turin.
  252. de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2010. "Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1652-1669, December.
  253. Chen, Zhenxi, 2014. "Estimating heterogeneous agents behavior with different investment horizons in stock markets," FinMaP-Working Papers 5, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  254. Kyubin Yim & Gabjin Oh & Seunghwan Kim, 2016. "Understanding Financial Market States Using an Artificial Double Auction Market," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-15, March.
  255. Jawadi, Fredj & Namouri, Hela & Ftiti, Zied, 2018. "An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 469-484.
  256. Georges, Christophre & Wallace, John C., 2009. "Learning Dynamics And Nonlinear Misspecification In An Artificial Financial Market," Macroeconomic Dynamics, Cambridge University Press, vol. 13(5), pages 625-655, November.
  257. Demary, Markus, 2010. "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-44.
  258. Havran, Dániel, 2008. "Pénzgazdálkodási szokások hatása a működőtőkére. A Magyar Posta példája [The effect of financial management habits on operating capital. The example of the Hungarian Post Office]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 907-926.
  259. Giovanni Campisi & Silvia Muzzioli, 2020. "Fundamentalists heterogeneity and the role of the sentiment indicator," Department of Economics 0167, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
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  261. 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.
  262. Alizadeh, Amir H. & Thanopoulou, Helen & Yip, Tsz Leung, 2017. "Investors’ behavior and dynamics of ship prices: A heterogeneous agent model," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 106(C), pages 98-114.
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