Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders

DOI10.1016/J.JEDC.2005.10.012zbMath1162.91462OpenAlexW2009015237WikidataQ62589561 ScholiaQ62589561MaRDI QIDQ959650

Mikhail Anufriev, Giulio Bottazzi, Francesca Pancotto

Publication date: 12 December 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.10.012

zbMATH Keywords

market selectionasset pricing modelCRRA frameworkequilibrium market lineprice and wealth dynamics

Mathematics Subject Classification ID

Special types of economic equilibria (91B52) Microeconomic theory (price theory and economic markets) (91B24) Dynamical systems in optimization and economics (37N40) Special types of economic markets (including Cournot, Bertrand) (91B54)

Related Items (12)

Asset prices and wealth dynamics in a financial market with random demand shocks ⋮ Excess covariance and dynamic instability in a multi-asset model ⋮ Updating wealth in an asset pricing model with heterogeneous agents ⋮ Market equilibria under procedural rationality ⋮ Procedural rationality, asset heterogeneity and market selection ⋮ Wealth-driven competition in a speculative financial market: examples with maximizing agents ⋮ Evolution and market behavior with endogenous investment rules ⋮ Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders ⋮ Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates ⋮ Asset prices, traders' behavior and market design ⋮ The reality game ⋮ IS MORE MEMORY IN EVOLUTIONARY SELECTION (DE)STABILIZING?

Cites Work

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• Agent-based computational finance: Suggested readings and early research
• Heterogeneous beliefs and the non-linear cobweb model
• Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
• Asset price and wealth dynamics under heterogeneous expectations

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