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Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model
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Cited by:
- C. H. Hommes, 2001.
"Financial markets as nonlinear adaptive evolutionary systems,"
Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 149-167.
- Hommes, C.H., 2000. "Financial Markets as Nonlinear Adaptive Evolutionary Systems," CeNDEF Working Papers 00-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Cars H. Hommes, 2001. "Financial Markets as Nonlinear Adaptive Evolutionary Systems," Tinbergen Institute Discussion Papers 01-014/1, Tinbergen Institute.
- 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).
- Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," Working Papers halshs-02956879, HAL.
- Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," FMM Working Paper 60-2020, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," CEPN Working Papers halshs-02956879, HAL.
- 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.
- Roberto Savona & Maxence Soumare & Jørgen Vitting Andersen, 2014. "Financial Symmetry and Moods in the Market," Documents de travail du Centre d'Economie de la Sorbonne 14030, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Roberto Savona & Maxence Soumare & Jørgen Vitting Andersen, 2015. "Financial Symmetry and Moods in the Market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01215755, HAL.
- Roberto Savona & Maxence Soumare & Jørgen Vitting Andersen, 2015. "Financial Symmetry and Moods in the Market," Post-Print hal-01215755, HAL.
- Roberto Savona & Maxence Soumare & Jørgen Vitting Andersen, 2014. "Financial Symmetry and Moods in the Market," Post-Print halshs-00983008, HAL.
- 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.
- Federico Bassi & Dany Lang & Raquel Almeida Ramos, 2023. "Bet against the trend and cash in profits: An agent‑based model of endogenous fluctuations of exchange rates," Post-Print hal-04428234, HAL.
- Yang, J-H.S. & Satchell, S.E., 2003. "Endogenous Correlation," Cambridge Working Papers in Economics 0321, Faculty of Economics, University of Cambridge.
- 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.
- Roberto Dieci & Ilaria Foroni & Laura Gardini & Xue-Zhong He, 2005. "Market Mood, Adaptive Beliefs and Asset Price Dynamics," Research Paper Series 162, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- Jang, Tae-Seok & Sacht, Stephen, 2012. "Identification of animal spirits in a bounded rationality model: An application to the euro area," Kiel Working Papers 1798, Kiel Institute for the World Economy (IfW Kiel).
- Sacht, Stephen & Jang, Tae-Seok, 2012. "Identification of Animal Spirits in a Bounded Rationality Model: An Application to the Euro Area," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62071, Verein für Socialpolitik / German Economic Association.
- Jang, Tae-Seok & Sacht, Stephen, 2012. "Identification of Animal Spirits in a Bounded Rationality Model: An Application to the Euro Area," MPRA Paper 37399, University Library of Munich, Germany.
- 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.
- Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2019. "Housing markets, expectation formation and interest rates," BERG Working Paper Series 142, Bamberg University, Bamberg Economic Research Group.
- 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.
- David Goldbaum & Bruce Mizrach, 2004. "Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision," Departmental Working Papers 200414, Rutgers University, Department of Economics.
- David Goldbaum & Bruce Mizrach, 2005. "Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision," Computing in Economics and Finance 2005 295, Society for Computational Economics.
- 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.
- Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "A Behavioural Asset Pricing Model with a Time-Varying Second Moment," Research Paper Series 141, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- 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.
- 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.
- Xue-Zhong (Tony) He & Carl Chiarella, 2001. "Asset Price and Wealth Dynamics under Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001 5A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Carl Chiarella & Xue-Zhong He, 2001. "Asset Price and Wealth Dynamics Under Heterogeneous Expectations," Research Paper Series 56, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney.
- Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden).
- 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.
- Lux, Thomas & Alfarano, Simone, 2016. "Financial power laws: Empirical evidence, models, and mechanisms," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 3-18.
- repec:fgv:epgrbe:v:66:n:3:a:1 is not listed on IDEAS
- 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.
- 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.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2005. "Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework," Research Paper Series 166, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- 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.
- 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.
- 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.
- 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.
- Taisei Kaizoji, 2003. "Speculative bubbles and fat tail phenomena in a heterogeneous agent model," Papers nlin/0312040, arXiv.org.
- 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.
- Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2003. "Bifurcation Routes to Volatility Clustering under Evolutionary Learning," CeNDEF Working Papers 03-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- 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.
- 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.
- Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda, 2014. "Micro and Macro Benefits of Random Investments in Financial Markets," Papers 1405.5805, arXiv.org.
- 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.
- Cars Hommes & Florian Wagener, 2008. "Complex Evolutionary Systems in Behavioral Finance," Tinbergen Institute Discussion Papers 08-054/1, Tinbergen Institute.
- 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.
- Carl Chiarella & Tony He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Computing in Economics and Finance 2002 135, Society for Computational Economics.
- Siddiqi, Hammad, 2007. "Rational Interacting Agents and Volatility Clustering: A New Approach," MPRA Paper 2984, University Library of Munich, Germany.
- 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.
- Lukáš Vácha & Miloslav Vošvrda, 2005. "Heterogeneous Agents Model with the Worst Out Algorithm," Working Papers IES 91, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised 2005.
- 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.
- Alessandro Sansone & Giuseppe Garofalo, 2005. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Finance 0510026, University Library of Munich, Germany.
- Giuseppe Garofalo & Alessandro Sansone, 2006. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Papers physics/0607276, arXiv.org.
- Giuseppe Garofalo & Alessandro Sansone, 2005. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Working Papers in Public Economics 88, Department of Economics and Law, Sapienza University of Roma.
- 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.
- 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.
- 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.
- Jan Wenzelburger & Volker Boehm, 2004. "On the performance of efficient portfolios," Computing in Economics and Finance 2004 197, Society for Computational Economics.
- Jonathan Cook, 2017. "Estimating the portion of technical analysts in a market," Applied Economics, Taylor & Francis Journals, vol. 49(41), pages 4127-4137, September.
- 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.
- 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.
- Jang, Tae-Seok & Sacht, Stephen, 2014. "Animal spirits and the business cycle: Empirical evidence from moment matching," Economics Working Papers 2014-06, Christian-Albrechts-University of Kiel, Department of Economics.
- Thomas Gomez & Giulia Piccillo, 2019. "Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model," CESifo Working Paper Series 8003, CESifo.
- 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.
- Hommes, C.H., 2010. "The Heterogeneous Expectations Hypothesis: Some Evidence from the Lab," CeNDEF Working Papers 10-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- 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.
- Xue-Zhong He & Kai Li & Junjie Wei & Min Zheng, 2009. "Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs," Research Paper Series 252, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
- Brock,W.A. & Hommes,C.H., 2001.
"Evolutionary dynamics in financial markets with many trader types,"
Working papers
7, Wisconsin Madison - Social Systems.
- Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2001. "Evolutionary Dynamics in Financial Markets With Many Trader Types," CeNDEF Working Papers 01-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- W.A. Brock, C.H. Hommes and F.O.O. Wagener, 2001. "Evolutionary dynamics in financial markets with many trader types," Computing in Economics and Finance 2001 119, Society for Computational Economics.
- 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.
- Chiarella, C. & He, X.-Z. & Hommes, C.H., 2004. "A Dynamic Analysis of Moving Average Rules," CeNDEF Working Papers 04-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004. "A Dynamic Analysis of Moving Average Rules," Research Paper Series 133, Quantitative Finance Research Centre, University of Technology, Sydney.
- Cars Hommes & Carl Chiarella & Xue-Zhong He, 2004. "A Dynamical Analysis of Moving Average Rules," Computing in Economics and Finance 2004 238, Society for Computational Economics.
- Carl Chiarella & Tony He & Cars H. Hommes, 2005. "A Dynamic Analysis of Moving Average Rules," Tinbergen Institute Discussion Papers 05-057/1, Tinbergen Institute.
- 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.
- 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.
- 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.
- Xue-Zhong He & Kai Li, 2011. "Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model," Research Paper Series 291, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- Gomes, Orlando, 2007. "Decentralized allocation of human capital and nonlinear growth," MPRA Paper 2882, University Library of Munich, Germany.
- Youwei Li & Xue-Zhong He, 2005.
"Long Memory, Heterogeneity, and Trend Chasing,"
Computing in Economics and Finance 2005
113, Society for Computational Economics.
- Xue-Zhong He & Youwei Li, 2005. "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series 148, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2002. "Evolutionary dynamics in markets with many trader types," CeNDEF Working Papers 02-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- 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.
- 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.
- Karlis, Alexandros & Galanis, Girogos & Terovitis, Spyridon & Turner, Matthew, 2017. "Heterogeneity and Clustering of Defaults," Economic Research Papers 270011, University of Warwick - Department of Economics.
- 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.
- 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.
- Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2002. "Asset Price Dynamics among Heterogeneous Interacting Agents," Computing in Economics and Finance 2002 222, Society for Computational Economics.
- 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.
- 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.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2010. "Time-Varying Beta: A Boundedly Rational Equilibrium Approach," Research Paper Series 275, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- Hommes, C.H. & Kiseleva, T. & Kuznetsov, Y. & Verbic, M., 2009. "Is more memory in evolutionary selection (de)stabilizing?," CeNDEF Working Papers 09-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- 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.
- 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.
- Zhenxi, Chen & Lux, Thomas, 2015. "Estimation of sentiment effects in financial markets: A simulated method of moments approach," FinMaP-Working Papers 37, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- Thomas Holtfort, 2019. "From standard to evolutionary finance: a literature survey," Management Review Quarterly, Springer, vol. 69(2), pages 207-232, June.
- 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.
- Shapiro, Dmitry, 2009. "Evolution of heterogeneous beliefs and asset overvaluation," Journal of Mathematical Economics, Elsevier, vol. 45(3-4), pages 277-292, March.
- 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.
- Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng, 2011. "Estimating Behavioural Heterogeneity Under Regime Switching," Research Paper Series 290, Quantitative Finance Research Centre, University of Technology, Sydney.
- Christian Peretti, 2007. "Long Memory and Hysteresis," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 363-389, Springer.
- 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.
- Corrado Di Guilmi & Xue-Zhong He & Kai Li, 2013. "Herding, Trend Chasing and Market Volatility," Research Paper Series 337, Quantitative Finance Research Centre, University of Technology, Sydney.
- Verbic, Miroslav, 2006. "Memory and Asset Pricing Models with Heterogeneous Beliefs," MPRA Paper 1261, University Library of Munich, Germany.
- 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.
- William Brock & Cars Hommes & Florian Wagener, 2006. "More Hedging Instruments may destablize Markets," Tinbergen Institute Discussion Papers 06-080/1, Tinbergen Institute, revised 30 Apr 2008.
- Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2008. "More hedging instruments may destabilize markets," CeNDEF Working Papers 08-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2006. "More hedging instruments may destabilize markets," CeNDEF Working Papers 06-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Michele Berardi, 2016.
"Endogenous time-varying risk aversion and asset returns,"
Journal of Evolutionary Economics, Springer, vol. 26(3), pages 581-601, July.
- Michele Berardi, 2012. "Endogenous time-varying risk aversion and asset return," Centre for Growth and Business Cycle Research Discussion Paper Series 168, Economics, The University of Manchester.
- 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.
- 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.
- Carl Chiarella & Roberto Dieci, 2004. "Asset price and wealth dynamics in a financial market with heterogeneous agents," Computing in Economics and Finance 2004 261, Society for Computational Economics.
- Carl Chiarella & Roberto Dieci & Laura Gardini, 2004. "Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents," Research Paper Series 134, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- 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.
- 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.
- Xue-Zhong He & Min Zheng, 2010. "Dynamics of Moving Average Rules in a Continuous-time Financial Market Model," Research Paper Series 268, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- Cars Hommes, 2010. "The heterogeneous expectations hypothesis: some evidence from the lab," Post-Print hal-00753041, HAL.
- 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.
- Fabio Dercole & Davide Radi, 2014. "Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics," Papers 1405.7747, arXiv.org.
- 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.
- 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.
- Sandrine Jacob Leal, 2015. "Fundamentalists, Chartists and Asset pricing anomalies," Post-Print hal-01508002, HAL.
- Pietro Dindo & Jan Tuinstra, 2011.
"A Class of Evolutionary Models for Participation Games with Negative Feedback,"
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