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Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model

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Cited by:

  1. C. H. Hommes, 2001. "Financial markets as nonlinear adaptive evolutionary systems," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 149-167.
  2. Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," DISCE - Working Papers del Dipartimento di Economia e Finanza def090, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  3. Roberto Savona & Maxence Soumare & Jørgen Vitting Andersen, 2015. "Financial Symmetry and Moods in the Market," PLOS ONE, Public Library of Science, vol. 10(4), pages 1-21, April.
  4. Federico Bassi & Raquel Ramos & Dany Lang, 2023. "Bet against the trend and cash in profits: An agent-based model of endogenous fluctuations of exchange rates," Journal of Evolutionary Economics, Springer, vol. 33(2), pages 429-472, April.
  5. Yang, J-H.S. & Satchell, S.E., 2003. "Endogenous Correlation," Cambridge Working Papers in Economics 0321, Faculty of Economics, University of Cambridge.
  6. Dieci, Roberto & Foroni, Ilaria & Gardini, Laura & He, Xue-Zhong, 2006. "Market mood, adaptive beliefs and asset price dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 29(3), pages 520-534.
  7. Jang, Tae-Seok & Sacht, Stephen, 2012. "Identification of animal spirits in a bounded rationality model: An application to the euro area," Economics Working Papers 2012-12, Christian-Albrechts-University of Kiel, Department of Economics.
  8. 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.
  9. 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.
  10. Chiarella, Carl & He, Xue-Zhong & Wang, Duo, 2006. "A behavioral asset pricing model with a time-varying second moment," Chaos, Solitons & Fractals, Elsevier, vol. 29(3), pages 535-555.
  11. Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Giulio Bottazzi & Mikhail Anufriev, 2005. "Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Trading Strategies," Computing in Economics and Finance 2005 375, Society for Computational Economics.
  13. C. Chiarella & X-Z. He, 2001. "Asset price and wealth dynamics under heterogeneous expectations," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 509-526.
  14. 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.
  15. 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.
  16. Lux, Thomas & Alfarano, Simone, 2016. "Financial power laws: Empirical evidence, models, and mechanisms," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 3-18.
  17. repec:fgv:epgrbe:v:66:n:3:a:1 is not listed on IDEAS
  18. Mikhail Anufriev & Giulio Bottazzi & Francesca Pancotto, 2004. "Price and Wealth Asymptotic Dynamics with CRRA Technical Trading Strategies," LEM Papers Series 2004/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  19. Chiarella, Carl & Dieci, Roberto & He, Xue-Zhong, 2007. "Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework," Journal of Economic Behavior & Organization, Elsevier, vol. 62(3), pages 408-427, March.
  20. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2020. "Loss aversion in an agent-based asset pricing model," Quantitative Finance, Taylor & Francis Journals, vol. 20(2), pages 275-290, February.
  21. Anufriev, Mikhail & Bottazzi, Giulio & Pancotto, Francesca, 2006. "Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1787-1835.
  22. Roy Cerqueti & Giulia Rotundo, 2015. "A review of aggregation techniques for agent-based models: understanding the presence of long-term memory," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(4), pages 1693-1717, July.
  23. Pyo, Dong-Jin, 2014. "A Multi-Factor Model of Heterogeneous Traders in a Dynamic Stock Market," Staff General Research Papers Archive 37358, Iowa State University, Department of Economics.
  24. Friedrich Wagner, 2011. "Market clearing by maximum entropy in agent models of stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(2), pages 121-138, November.
  25. Taisei Kaizoji, 2003. "Speculative bubbles and fat tail phenomena in a heterogeneous agent model," Papers nlin/0312040, arXiv.org.
  26. Gaunersdorfer, Andrea & Hommes, Cars H. & Wagener, Florian O.O., 2008. "Bifurcation routes to volatility clustering under evolutionary learning," Journal of Economic Behavior & Organization, Elsevier, vol. 67(1), pages 27-47, July.
  27. Pérez-Rodríguez, Jorge V. & Gómez-Déniz, Emilio & Sosvilla-Rivero, Simón, 2021. "Testing unobserved market heterogeneity in financial markets: The case of Banco Popular," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 151-160.
  28. Parke, William R. & Waters, George A., 2007. "An evolutionary game theory explanation of ARCH effects," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2234-2262, July.
  29. Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda, 2014. "Micro and Macro Benefits of Random Investments in Financial Markets," Papers 1405.5805, arXiv.org.
  30. 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.
  31. Carl Chiarella & Xue-Zhong He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Research Paper Series 84, Quantitative Finance Research Centre, University of Technology, Sydney.
  32. Siddiqi, Hammad, 2007. "Rational Interacting Agents and Volatility Clustering: A New Approach," MPRA Paper 2984, University Library of Munich, Germany.
  33. Miloslav Vošvrda & Lukáš Vácha, 2007. "Heterogeneous Agents Model with the Worst Out Algorithm," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 1(1), pages 54-66, March.
  34. Sansone, Alessandro & Garofalo, Giuseppe, 2007. "Asset price dynamics in a financial market with heterogeneous trading strategies and time delays," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 247-257.
  35. J.-H. Steffi Yang & Satchell, S.E., 2002. "The Impact of Technical Analysis on Asset Price Dynamics," Cambridge Working Papers in Economics 0219, Faculty of Economics, University of Cambridge.
  36. Hommes, C.H., 2005. "Heterogeneous Agents Models: two simple examples, forthcoming In: Lines, M. (ed.) Nonlinear Dynamical Systems in Economics, CISM Courses and Lectures, Springer, 2005, pp.131-164," CeNDEF Working Papers 05-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  37. Bohm, Volker & Wenzelburger, Jan, 2005. "On the performance of efficient portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 721-740, April.
  38. Jonathan Cook, 2017. "Estimating the portion of technical analysts in a market," Applied Economics, Taylor & Francis Journals, vol. 49(41), pages 4127-4137, September.
  39. Ruitao Gu & Qiaoyun Zhang & Wei Zhou & Jianxu Liu, 2022. "Judging the True Health of Finance Institutions Based on Risk Behavior and Operation Performance," Mathematical Problems in Engineering, Hindawi, vol. 2022, pages 1-21, November.
  40. 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.
  41. Thomas Gomez & Giulia Piccillo, 2019. "Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model," CESifo Working Paper Series 8003, CESifo.
  42. 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.
  43. He, Xue-Zhong & Li, Kai & Wei, Junjie & Zheng, Min, 2009. "Market stability switches in a continuous-time financial market with heterogeneous beliefs," Economic Modelling, Elsevier, vol. 26(6), pages 1432-1442, November.
  44. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
  45. Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
  46. Brock,W.A. & Hommes,C.H., 2001. "Evolutionary dynamics in financial markets with many trader types," Working papers 7, Wisconsin Madison - Social Systems.
  47. Chiarella, Carl & He, Xue-Zhong & Hommes, Cars, 2006. "A dynamic analysis of moving average rules," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1729-1753.
  48. 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.
  49. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01011701, HAL.
  50. He, Xue-Zhong & Li, Kai, 2012. "Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 973-987.
  51. Orlando Gomes, 2008. "Decentralized Allocation of Human Capital and Nonlinear Growth," Computational Economics, Springer;Society for Computational Economics, vol. 31(1), pages 45-75, February.
  52. Youwei Li & Xue-Zhong He, 2005. "Long Memory, Heterogeneity, and Trend Chasing," Computing in Economics and Finance 2005 113, Society for Computational Economics.
  53. Brock, William A. & Hommes, Cars H. & Wagener, Florian O. O., 2005. "Evolutionary dynamics in markets with many trader types," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 7-42, February.
  54. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Post-Print halshs-01215947, HAL.
  55. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00983051, HAL.
  56. Karlis, Alexandros & Galanis, Girogos & Terovitis, Spyridon & Turner, Matthew, 2017. "Heterogeneity and Clustering of Defaults," Economic Research Papers 270011, University of Warwick - Department of Economics.
  57. 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.
  58. Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2003. "Asset Price Dynamics among Heterogeneous Interacting Agents," Computational Economics, Springer;Society for Computational Economics, vol. 22(2), pages 213-223, October.
  59. 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.
  60. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2013. "Time-varying beta: a boundedly rational equilibrium approach," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 609-639, July.
  61. 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.
  62. Carl Chiarella & Roberto Dieci & Laura Gardini & Lucia Sbragia, 2008. "A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 55-72, September.
  63. Zhenxi Chen & Thomas Lux, 2018. "Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach," Computational Economics, Springer;Society for Computational Economics, vol. 52(3), pages 711-744, October.
  64. Thomas Holtfort, 2019. "From standard to evolutionary finance: a literature survey," Management Review Quarterly, Springer, vol. 69(2), pages 207-232, June.
  65. Andrea Gaunersdorfer & Cars Hommes & Florian Wagener, 2001. "Adaptive Beliefs and the volatility of asset prices," CeNDEF Workshop Papers, January 2001 5A.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  66. Shapiro, Dmitry, 2009. "Evolution of heterogeneous beliefs and asset overvaluation," Journal of Mathematical Economics, Elsevier, vol. 45(3-4), pages 277-292, March.
  67. 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.
  68. Christian Peretti, 2007. "Long Memory and Hysteresis," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 363-389, Springer.
  69. Di Guilmi, Corrado & He, Xue-Zhong & Li, Kai, 2014. "Herding, trend chasing and market volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 349-373.
  70. Verbic, Miroslav, 2006. "Memory and Asset Pricing Models with Heterogeneous Beliefs," MPRA Paper 1261, University Library of Munich, Germany.
  71. 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.
  72. Michele Berardi, 2016. "Endogenous time-varying risk aversion and asset returns," Journal of Evolutionary Economics, Springer, vol. 26(3), pages 581-601, July.
  73. Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda & Dirk Helbing, 2013. "Are Random Trading Strategies More Successful than Technical Ones?," PLOS ONE, Public Library of Science, vol. 8(7), pages 1-13, July.
  74. Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2006. "Asset price and wealth dynamics in a financial market with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1755-1786.
  75. Yeh, Chia-Hsuan & Yang, Chun-Yi, 2010. "Examining the effectiveness of price limits in an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2089-2108, October.
  76. 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.
  77. He, Xue-Zhong & Zheng, Min, 2010. "Dynamics of moving average rules in a continuous-time financial market model," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 615-634, December.
  78. Ke-Hung Lai & Shu-Heng Chen & Ya-Chi Huang, 2005. "Bounded Rationality and the Elasticity Puzzle: What Can We Learn from the Agent-Based Computational Consumption Capital Asset Pricing Model?," Computing in Economics and Finance 2005 207, Society for Computational Economics.
  79. Cars Hommes, 2010. "The heterogeneous expectations hypothesis: some evidence from the lab," Post-Print hal-00753041, HAL.
  80. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01215947, HAL.
  81. Fabio Dercole & Davide Radi, 2014. "Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics," Papers 1405.7747, arXiv.org.
  82. Gaies, Brahim & Nakhli, Mohamed Sahbi & Ayadi, Rim & Sahut, Jean-Michel, 2022. "Exploring the causal links between investor sentiment and financial instability: A dynamic macro-financial analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 204(C), pages 290-303.
  83. 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.
  84. Sandrine Jacob Leal, 2015. "Fundamentalists, Chartists and Asset pricing anomalies," Post-Print hal-01508002, HAL.
  85. Pietro Dindo & Jan Tuinstra, 2011. "A Class of Evolutionary Models for Participation Games with Negative Feedback," Computational Economics, Springer;Society for Computational Economics, vol. 37(3), pages 267-300, March.
  86. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2000. "Bifurcation Routes to Volatility Clustering," CeNDEF Working Papers 00-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  87. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "The dynamic behaviour of asset prices in disequilibrium: a survey," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 101-139.
  88. Volker Böhm & Carl Chiarella, 2005. "Mean Variance Preferences, Expectations Formation, And The Dynamics Of Random Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 61-97, January.
  89. He, Xue-Zhong & Li, Youwei, 2015. "Testing of a market fraction model and power-law behaviour in the DAX 30," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 1-17.
  90. Liu, Yi-Fang & Zhang, Wei & Xu, Chao & Vitting Andersen, Jørgen & Xu, Hai-Chuan, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 204-215.
  91. Orlando Gomes, 2010. "Consumer confidence, endogenous growth and endogenous cycles," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 37(4), pages 377-404, September.
  92. Chiarella, Carl & He, Xue-Zhong & Pellizzari, Paolo, 2012. "A Dynamic Analysis Of The Microstructure Of Moving Average Rules In A Double Auction Market," Macroeconomic Dynamics, Cambridge University Press, vol. 16(4), pages 556-575, September.
  93. He, Xue-Zhong & Li, Kai & Wang, Chuncheng, 2016. "Volatility clustering: A nonlinear theoretical approach," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 274-297.
  94. Pyo, Dong-Jin, 2015. "Animal spirits and stock market dynamics," ISU General Staff Papers 201501010800005596, Iowa State University, Department of Economics.
  95. Gallegati, Mauro & Palestrini, Antonio & Rosser, J. Barkley, 2011. "The Period Of Financial Distress In Speculative Markets: Interacting Heterogeneous Agents And Financial Constraints," Macroeconomic Dynamics, Cambridge University Press, vol. 15(1), pages 60-79, February.
  96. Xue-Zhong He & Youwei Li, 2008. "Heterogeneity, convergence, and autocorrelations," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 59-79.
  97. Fabio Tramontana, 2013. "The role of cognitively biased imitators in a small scale agent-based financial market," DEM Working Papers Series 029, University of Pavia, Department of Economics and Management.
  98. Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002. "Speculative behaviour and complex asset price dynamics: a global analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 173-197, October.
  99. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
  100. Kukacka, Jiri & Barunik, Jozef, 2013. "Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5920-5938.
  101. Tai, Chung-Ching & Chen, Shu-Heng & Yang, Lee-Xieng, 2018. "Cognitive ability and earnings performance: Evidence from double auction market experiments," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 409-440.
  102. Siddiqi, Hammad, 2006. "Belief merging and revision under social influence: An explanation for the volatility clustering puzzle," MPRA Paper 657, University Library of Munich, Germany.
  103. Miroslav Verbic, 2008. "On the Role of Memory in an Asset Pricing Model with Heterogeneous Beliefs," Financial Theory and Practice, Institute of Public Finance, vol. 32(2), pages 195-229.
  104. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment," Research Paper Series 142, Quantitative Finance Research Centre, University of Technology, Sydney.
  105. Torsten Trimborn, 2018. "A Macroscopic Portfolio Model: From Rational Agents to Bounded Rationality," Papers 1805.11036, arXiv.org, revised Oct 2018.
  106. Orlando Gomes, 2004. "A Continuous-Time Asset Pricing Model with Boundedly Rational Heterogeneous Agents," Finance 0409055, University Library of Munich, Germany.
  107. Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
  108. Alexander Zimper, 2023. "Belief aggregation for representative agent models," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(2), pages 309-342, June.
  109. Gomes, Orlando, 2012. "Attentiveness cycles: Synchronized behavior and aggregate fluctuations," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(3), October.
  110. He, Xue-Zhong & Li, Kai & Santi, Caterina & Shi, Lei, 2022. "Social interaction, volatility clustering, and momentum," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 125-149.
  111. Catherine Kyrtsou & Michel Terraza, 2003. "Is it Possible to Study Chaotic and ARCH Behaviour Jointly? Application of a Noisy Mackey–Glass Equation with Heteroskedastic Errors to the Paris Stock Exchange Returns Series," Computational Economics, Springer;Society for Computational Economics, vol. 21(3), pages 257-276, June.
  112. Carl Chiarella & Xue-Zhong He & Min Zheng, 2013. "Heterogeneous expectations and exchange rate dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 392-419, May.
  113. 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.
  114. Orlando Gomes, . "Volatility, Heterogeneous Agents and Chaos," The Electronic Journal of Evolutionary Modeling and Economic Dynamics, IFReDE - Université Montesquieu Bordeaux IV.
  115. 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.
  116. He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3396-3426, October.
  117. Ackert, Lucy F. & Church, Bryan K. & Zhang, Ping, 2004. "Asset prices and informed traders' abilities: Evidence from experimental asset markets," Accounting, Organizations and Society, Elsevier, vol. 29(7), pages 609-626, October.
  118. He, Xue-Zhong & Li, Youwei & Zheng, Min, 2019. "Heterogeneous agent models in financial markets: A nonlinear dynamics approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 135-149.
  119. A. K. Karlis & G. Galanis & S. Terovitis & M. S. Turner, 2021. "Heterogeneity and clustering of defaults," Quantitative Finance, Taylor & Francis Journals, vol. 21(9), pages 1533-1549, September.
  120. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2003. "Nonlocal onset of instability in an asset pricing model with heterogeneous agents," CeNDEF Working Papers 03-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  121. Carl Chiarella & Roberto Dieci & Laura Gardini, 2005. "The Dynamic Interaction of Speculation and Diversification," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 17-52.
  122. Anufriev, Mikhail & Kopányi, Dávid, 2018. "Oligopoly game: Price makers meet price takers," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 84-103.
  123. Andrew Foster & Natasha Kirby, 2011. "Analysis of a Heterogeneous Trader Model for Asset Price Dynamics," Discrete Dynamics in Nature and Society, Hindawi, vol. 2011, pages 1-12, October.
  124. 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.
  125. Clark, Andrew, 2012. "Heat baths and computational agent-based models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5512-5520.
  126. He, Xue-Zhong & Li, Kai, 2015. "Profitability of time series momentum," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 140-157.
  127. Brian Sallans & Alexander Pfister & Alexandros Karatzoglou & Georg Dorffner, 2003. "Simulation and Validation of an Integrated Markets Model," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 6(4), pages 1-2.
  128. Jan Wenzelburger, 2013. "Risk sharing in a financial market with endogenous option prices," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 491-517, July.
  129. 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.
  130. Di Guilmi, Corrado & Galanis, Giorgos & Proaño, Christian R., 2023. "A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations," Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 50-67.
  131. Naimzada, Ahmad & Pireddu, Marina, 2015. "Real and financial interacting markets: A behavioral macro-model," Chaos, Solitons & Fractals, Elsevier, vol. 77(C), pages 111-131.
  132. Dong-Jin Pyo, 2017. "A multi-factor model of heterogeneous traders in a dynamic stock market," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1416902-141, January.
  133. 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.
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