Behavioral heterogeneity in stock prices

DOI10.1016/j.jedc.2007.01.001zbMath1201.91223OpenAlexW3124655134MaRDI QIDQ1017073

H. Peter Boswijk, Cars H. Hommes, Sebastiano Manzan

Publication date: 18 May 2009

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

Full work available at URL: http://cendef.uva.nl/binaries/content/assets/subsites/amsterdam-school-of-economics/amsterdam-school-of-economics-research-institute/cendef/working-papers-2005/bhm_jedc_final.pdf?1417181070977

zbMATH Keywords

evolutionary selectionbounded rationalitybubblesstock pricesheterogeneous expectationsbehavioral finance

Mathematics Subject Classification ID

Related Items (75)

Does the ``uptick rule stabilize the stock market? Insights from adaptive rational equilibrium dynamics ⋮ Anomalous volatility scaling in high frequency financial data ⋮ Estimation of ergodic agent-based models by simulated minimum distance ⋮ Learning from experience in the stock market ⋮ Nonlinear expectations in speculative markets -- evidence from the ECB Survey of Professional Forecasters ⋮ Structural stochastic volatility in asset pricing dynamics: estimation and model contest ⋮ Estimation of an agent-based model of investor sentiment formation in financial markets ⋮ Informational differences and learning in an asset market with boundedly rational agents ⋮ Staggered updating in an artificial financial market ⋮ Inflation expectations and macroeconomic dynamics: the case of rational versus extrapolative expectations ⋮ Heterogeneity in stock prices: a STAR model with multivariate transition function ⋮ Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics ⋮ Effects of fundamentals acquisition and strategy switch on stock price dynamics ⋮ Herding behaviour and volatility clustering in financial markets ⋮ A Stylized Model for Long-Run Index Return Dynamics ⋮ On the bimodality of the distribution of the S\&P 500's distortion: empirical evidence and theoretical explanations ⋮ Booms, busts and behavioural heterogeneity in stock prices ⋮ Empirical properties of a heterogeneous agent model in large dimensions ⋮ Estimation of financial agent-based models with simulated maximum likelihood ⋮ Heterogeneous expectations, boom-bust housing cycles, and supply conditions: a nonlinear economic dynamics approach ⋮ The stock-bond comovements and cross-market trading ⋮ Itchy feet vs cool heads: flow of funds in an agent-based financial market ⋮ Agent-based model calibration using machine learning surrogates ⋮ A laboratory experiment on the heuristic switching model ⋮ Estimation of agent-based models using sequential Monte Carlo methods ⋮ An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets ⋮ Time-varying arbitrage and dynamic price discovery ⋮ A calibration procedure for analyzing stock price dynamics in an agent-based framework ⋮ On the Concept of Endogenous Volatility ⋮ Estimating the intensity of choice in a dynamic mutual fund allocation decision ⋮ A financial market model with two discontinuities: Bifurcation structures in the chaotic domain ⋮ Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment ⋮ Co-existence of trend and value in financial markets: estimating an extended Chiarella model ⋮ Behavioral heterogeneity in the option market ⋮ The heterogeneous expectations hypothesis: Some evidence from the lab ⋮ An analysis of the effect of noise in a heterogeneous agent financial market model ⋮ Estimation of heuristic switching in behavioral macroeconomic models ⋮ Heterogeneous expectations and equilibria selection in an evolutionary overlapping generations model ⋮ On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets ⋮ Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach ⋮ The Euro/Dollar exchange rate: chaotic or non-chaotic? A continuous time model with heterogeneous beliefs ⋮ Some reflections on past and future of nonlinear dynamics in economics and finance ⋮ Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets ⋮ Heterogeneous speculators and asset price dynamics: Further results from a one-dimensional discontinuous piecewise-linear map ⋮ Optimal premium policy of an insurance firm: full and partial information ⋮ Computing stock price comovements with a three-regime panel smooth transition error correction model ⋮ A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities ⋮ Contagion between asset markets: a two market heterogeneous agents model with destabilising spillover effects ⋮ Stock prices and the risk-free rate: an internal rationality approach ⋮ Multi-agent-based VaR forecasting ⋮ Partially observed time-inconsistency recursive optimization problem and application ⋮ Strategy switching in the Japanese stock market ⋮ Asset price dynamics with heterogeneous beliefs and local network interactions ⋮ Heterogeneous expectations in the gold market: specification and estimation ⋮ Optimism, pessimism and financial bubbles ⋮ Speculative behavior and the dynamics of interacting stock markets ⋮ Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates ⋮ Identifying booms and busts in house prices under heterogeneous expectations ⋮ Financial crises and interacting heterogeneous agents ⋮ On the specification of noise in two agent-based asset pricing models ⋮ Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation ⋮ Exchange rates and fundamentals under adaptive learning ⋮ Interactions between the real economy and the stock market: a simple agent-based approach ⋮ A financial CCAPM and economic inequalities ⋮ ADAPTIVE INVESTMENT STRATEGIES FOR PERIODIC ENVIRONMENTS ⋮ Behavioral heterogeneity in dynamic search situations: theory and experimental evidence ⋮ Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market ⋮ Speculative asset price dynamics and wealth taxes ⋮ Cross-section instability in financial markets: impatience, extrapolation, and switching ⋮ More hedging instruments may destabilize markets ⋮ LEARNING DYNAMICS AND NONLINEAR MISSPECIFICATION IN AN ARTIFICIAL FINANCIAL MARKET ⋮ IS MORE MEMORY IN EVOLUTIONARY SELECTION (DE)STABILIZING? ⋮ Can a stochastic cusp catastrophe model explain stock market crashes? ⋮ Trading profitability from learning and adaptation on the Tokyo Stock Exchange ⋮ An asset pricing model with accuracy-driven evolution of heterogeneous expectations

Cites Work

• A global optimization heuristic for estimating agent based models
• Estimation of agent-based models: The case of an asymmetric herding model
• Rational expectations equilibrium with conditioning on past prices: A mean-variance example
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations
• On information and market dynamics: The case of the U. S. beef market
• Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists
• The Present-Value Relation: Tests Based on Implied Variance Bounds
• A Rational Route to Randomness
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

This page was built for publication: Behavioral heterogeneity in stock prices