Heterogeneous beliefs and routes to chaos in a simple asset pricing model

Related Items

A dynamical model for real economy and finance, Does the ``uptick rule stabilize the stock market? Insights from adaptive rational equilibrium dynamics, Dynamics of the Shapovalov mid-size firm model, Are transaction taxes a cause of financial instability?, Intermittent chaos in a model of financial markets with heterogeneous agents, Learning from experience in the stock market, Asset prices and wealth dynamics in a financial market with random demand shocks, Fat tails arise endogenously from supply/demand, with or without jump processes, Effects of fundamentals acquisition and strategy switch on stock price 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, Bayesian estimation of agent-based models, Empirical properties of a heterogeneous agent model in large dimensions, Impact of value-at-risk models on market stability, Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents, Estimation of financial agent-based models with simulated maximum likelihood, Heterogeneous expectations, boom-bust housing cycles, and supply conditions: a nonlinear economic dynamics approach, Optimal monetary policy in a New Keynesian model with heterogeneous expectations, Itchy feet vs cool heads: flow of funds in an agent-based financial market, Optimal monetary policy in a New Keynesian model with animal spirits and financial markets, Agent-based model calibration using machine learning surrogates, A laboratory experiment on the heuristic switching model, Interactions between stock, bond and housing markets, Oligopoly game: price makers meet price takers, The role of cognitive limitations and heterogeneous expectations for aggregate production and credit cycle, Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics, Estimation of agent-based models using sequential Monte Carlo methods, Cognitive ability and earnings performance: evidence from double auction market experiments, Boom-bust dynamics in a stock market participation model with heterogeneous traders, 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, Learning, information processing and order submission in limit order markets, A calibration procedure for analyzing stock price dynamics in an agent-based framework, Animal spirits and credit cycles, Behavioral heterogeneity and financial crisis: the role of sentiment, Bounded rationality, asymmetric information and mispricing in financial markets, Study of irregular dynamics in an economic model: attractor localization and Lyapunov exponents, Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment, Connectivity, information jumps, and market stability: an agent-based approach, Co-existence of trend and value in financial markets: estimating an extended Chiarella model, The behavioral economics of currency unions: economic integration and monetary policy, Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality, A comparison of economic agent-based model calibration methods, Exchange rate bifurcation in a stochastic evolutionary finance model, New analyses of duopoly game with output lower limiters, Herding, minority game, market clearing and efficient markets in a simple spin model framework, On the price dynamics of a two-dimensional financial market model with entry levels, Dynamics of a durable commodity market involving trade at disequilibrium, Homoclinic bifurcations in heterogeneous market models., Some reflections on past and future of nonlinear dynamics in economics and finance, Steady states, stability and bifurcations in multi-asset market models, Time series properties of an artificial stock market, Chaotic dynamics in nonlinear duopoly game with heterogeneous players., Heterogeneous expectations and speculative behavior in insurance-linked securities, Heterogeneous agents in multi-markets: a coupled map lattices approach, 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, 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, Statistical properties of genetic learning in a model of exchange rate, Speculative behavior and chaotic asset price dynamics: on the emergence of a bandcount accretion bifurcation structure, Prices, debt and market structure in an agent-based model of the financial market, Evolution and market behavior with endogenous investment rules, Herding, trend chasing and market volatility, Are professional forecasters Bayesian?, Multi-agent-based VaR forecasting, Strategy switching in the Japanese stock market, The bull and bear market model of Huang and Day: some extensions and new results, Asset price dynamics with heterogeneous beliefs and local network interactions, Monetary policy transmission in a model with animal spirits and house price booms and busts, Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders, Exchange rate expectations of chartists and fundamentalists, Heterogeneous expectations in the gold market: specification and estimation, Adaptive learning and distributional dynamics in an incomplete markets model, Heterogeneous beliefs in over-the-counter markets, Speculative behavior and the dynamics of interacting stock markets, Nonlinear dynamics of continuous-variable quantum games with bounded rationality, Identifying booms and busts in house prices under heterogeneous expectations, Income inequality, consumption, credit and credit risk in a data-driven agent-based model, Can competition between forecasters stabilize asset prices in learning to forecast experiments?, Instability in the cobweb model under the BNN dynamic, A dynamic stochastic model of asset pricing with heterogeneous beliefs, A New Keynesian model with heterogeneous expectations, Price stability and volatility in markets with positive and negative expectations feedback: an experimental investigation, Asset prices, traders' behavior and market design, Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation, Heterogeneous beliefs, monetary policy, and stock price volatility, Monetary policy with a state-dependent inflation target in a behavioral two-country monetary union model, Speculative asset price dynamics and wealth taxes, Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach, Cross-section instability in financial markets: impatience, extrapolation, and switching, Implicit government guarantees and the externality of portfolio diversification: a complex network approach, Fuzzy inductive reasoning, expectation formation and the behavior of security prices, Dynamics of beliefs and learning under \(a_{L}\)-processes -- the heterogeneous case, Statistical arbitrage and risk contagion, Nonlinear dynamics in the Cournot duopoly game with heterogeneous players, Production delays, supply distortions and endogenous price dynamics, An asset pricing model with accuracy-driven evolution of heterogeneous expectations, Governance structure, technical change, and industry competition, Emerging patterns in inflation expectations with multiple agents, Heterogeneity, nonlinearity and endogenous market volatility, Adjustable and fixed interest rates mortgage markets modelling, Individual expectations, limited rationality and aggregate outcomes, Excess covariance and dynamic instability in a multi-asset model, Animal spirits in the foreign exchange market, Misperception-driven chaos: theory and policy implications, A dynamic factor approach to nonlinear stability analysis, Staggered updating in an artificial financial market, Evolution of heterogeneous beliefs and asset overvaluation, Inflation expectations and macroeconomic dynamics: the case of rational versus extrapolative expectations, Heterogeneity in stock prices: a STAR model with multivariate transition function, Central bank intervention and heterogeneous exchange rate expectations: evidence from the daily DEM/US-dollar exchange rate, Target zone interventions and coordination of expectations, Dynamic effects of increasing heterogeneity in financial markets, Learning benevolent leadership in a heterogeneous agents economy, Examining the effectiveness of price limits in an artificial stock market, A new method to control chaos in an economic system, Updating wealth in an asset pricing model with heterogeneous agents, Behavioral heterogeneity in the option market, Market equilibria under procedural rationality, The heterogeneous expectations hypothesis: Some evidence from the lab, Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends, An analysis of the effect of noise in a heterogeneous agent financial market model, Random perturbations of deterministic equilibria., Hopf bifurcation and stability crossing curves in a cobweb model with heterogeneous producers and time delays, Formation of rationally heterogeneous expectations, The impact of short-selling constraints on financial market stability in a heterogeneous agents model, Complex dynamics of duopoly game with heterogeneous players: a further analysis of the output model, A class of evolutionary models for participation games with negative feedback, Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model, On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets, Varieties of agents in agent-based computational economics: a historical and an interdisciplinary perspective, Fundamentalists vs. chartists: learning and predictor choice dynamics, The Euro/Dollar exchange rate: chaotic or non-chaotic? A continuous time model with heterogeneous beliefs, Popularity of reinforcement-based and belief-based learning models: an evolutionary approach, Endogenous reactivity in a dynamic model of consumer's choice, Credit market dynamics: a cobweb model, Heterogeneous speculators and asset price dynamics: Further results from a one-dimensional discontinuous piecewise-linear map, Heterogeneous fundamentalists and imitative processes, An evolutionary CAPM under heterogeneous beliefs, On rationally confident beliefs and rational overconfidence, Order aggressiveness, pre-trade transparency, and long memory in an order-driven market, Analysis of a heterogeneous trader model for asset price dynamics, Nonlinear delay difference equations for housing dynamics assuming heterogeneous backward-looking expectations, Market mood, adaptive beliefs and asset price dynamics, A behavioral asset pricing model with a time-varying second moment, On the dynamics of asset prices and portfolios in a multiperiod CAPM, A model of financial market dynamics with heterogeneous beliefs and state-dependent confidence, Real and financial interacting markets: a behavioral macro-model, Symmetry breaking in a bull and bear financial market model, Heterogeneous fundamentalists and market maker inventories, Modelling and measuring the irrational behaviour of agents in financial markets: discovering the psychological soliton, Order book, financial markets, and self-organized criticality, Stochastic equilibrium: Learning by exponential smoothing, Adaptive expectations coordination in an economy with heterogeneous agents, Speculative markets and the effectiveness of price limits, Equilibrium stock return dynamics under alternative rules of learning about hidden states, Learning to predict rationally when beliefs are heterogeneous, Representativeness of news and exchange rate dynamics, Heterogeneity of agents, transactions costs and the exchange rate, On the performance of efficient portfolios, Herding, a-synchronous updating and heterogeneity in memory in a CBS, Eductive expectations coordination on deterministic cycles in an economy with heterogeneous agents, Market efficiency and learning in an endogenously unstable environment, A robust rational route to randomness in a simple asset pricing model, Commodity markets, price limiters and speculative price dynamics, Financial crashes as endogenous jumps: estimation, testing and forecasting, Markets do not select for a liquidity preference as behavior towards risk, The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach, A dynamic analysis of moving average rules, Asset price and wealth dynamics in a financial market with heterogeneous agents, Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders, Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates, The diversity of forecasts from macroeconomic models of the US economy, Financial crises and interacting heterogeneous agents, On the specification of noise in two agent-based asset pricing models, Heterogeneous trading strategies with adaptive fuzzy actor-critic reinforcement learning: a behavioral approach, Evolutionary dynamics in markets with many trader types, The asset market game, Market selection and survival of investment strategies, Institutional architectures and behavioral ecologies in the dynamics of financial markets, Dynamic predictor selection in a New Keynesian model with heterogeneous expectations, Fuzzy options with application to default risk analysis for municipal bonds in China, A simple asset pricing model with social interactions and heterogeneous beliefs, Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy, Fat tails and volatility clustering in experimental asset markets, Behavioral heterogeneity in stock prices, An evolutionary game theory explanation of ARCH effects, The rise and fall of catastrophe theory applications in economics: was the baby thrown out with the bathwater?, Power-law behaviour, heterogeneity, and trend chasing, A non-parametric test for independence based on symbolic dynamics, More hedging instruments may destabilize markets, Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets, The emergence of bull and bear dynamics in a nonlinear model of interacting markets, When one stock share is a biological individual: a stylized simulation of the population dynamics in an order-driven market, Chaos in the cobweb model with a new learning dynamic, Learning games, Can a stochastic cusp catastrophe model explain stock market crashes?, A heterogeneous boundedly rational expectation model for housing market, Forecast combination, non-linear dynamics, and the macroeconomy, Noncausality and asset pricing, TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS, Perception of Fundamental Values and Financial Market Dynamics: Mathematical Insights from a 2D Piecewise Linear Map, Complex Dynamics in a Model of Common Fishery Resource Harvested by Multiagents with Heterogeneous Strategy, Herding behaviour and volatility clustering in financial markets, A note on biased fundamentalists, On the Concept of Endogenous Volatility, Estimating the intensity of choice in a dynamic mutual fund allocation decision, Time-varying economic dominance in financial markets: A bistable dynamics approach, A financial market model with two discontinuities: Bifurcation structures in the chaotic domain, Agents' beliefs and economic regimes polarization in interacting markets, A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market, Social contagion and the survival of diverse investment styles, A financial market model with endogenous fundamental values through imitative behavior, Refinement of dynamic equilibrium using small random perturbations, Subsidies and Interacting Crop Market Dynamics, Currency manipulation and currency wars: analyzing the dynamics of competitive central bank interventions, Estimation of heuristic switching in behavioral macroeconomic models, The impacts of investor network and herd behavior on market stability: social learning, network structure, and heterogeneity, Procedural rationality, asset heterogeneity and market selection, The inherent law of the unpredictability of financial asset price fluctuations: multistability and chaos, Bifurcation, chaos and multi-stability regions in an asset pricing model with three subsystems, The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach, Heterogeneous expectations and equilibria selection in an evolutionary overlapping generations model, Extrapolative asset pricing, The limit distribution of evolving strategies in financial markets, Wealth-driven competition in a speculative financial market: examples with maximizing agents, Heterogeneity, convergence, and autocorrelations, An elementary business cycle mechanism: learning from Harrod and Kaldor, Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos, Behavioral learning equilibria, Bubbles, crashes and risk, Fundamentalists, chartists and asset pricing anomalies, Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets, An agent-based macroeconomic model with interacting firms, socio-economic opinion formation and optimistic/pessimistic sales expectations, Studying heterogeneity among fundamentalists in financial markets: a note, Investor sentiment and trading behavior, BCB Curves and Contact Bifurcations in Piecewise Linear Discontinuous Map Arising in a Financial Market, BUBBLES AND CRASHES: OPTIMISM, TREND EXTRAPOLATION AND PANIC, Tobin tax and market depth, Come Together: The Role of Cognitively Biased Imitators in a Small Scale Agent-Based Financial Market, Agent-Based Computational Economics, On non-ergodic asset prices, Herd behavior, bubbles and social interactions in financial markets, How equilibrium prices reveal information in a time series model with disparately informed, competitive traders, A simulation analysis of the microstructure of double auction markets*, Profitable technical trading rules as a source of price instability, Market-maker, inventory control and foreign exchange dynamics, A MODEL OF NEAR-RATIONAL EXUBERANCE, Decentralized allocation of human capital and nonlinear growth, Complex dynamics in learning complicated games, Intrinsic heterogeneity in expectation formation, Multiscale analysis of economic time series by scale-dependent Lyapunov exponent, Exchange rate dynamics in a target zone-A heterogeneous expectations approach, Underreaction to fundamental information and asymmetry in mispricing between bullish and bearish markets. An experimental study, The impact of heterogeneous trading rules on the limit order book and order flows, Bubbles and crashes: gradient dynamics in financial markets, Consistent expectations equilibria and learning in a stock market, Econometric analysis of microscopic simulation models, Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market, Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model, Exploring the financial risk of a temperature index: a fractional integrated approach, SEMI-NONPARAMETRIC ESTIMATES OF THE DEMAND FOR MONEY IN THE UNITED STATES, Coordination on bubbles in large-group asset pricing experiments, Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion, MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES, A macroscopic portfolio model: from rational agents to bounded rationality, LOCK-IN OF EXTRAPOLATIVE EXPECTATIONS IN AN ASSET PRICING MODEL, THE WORKING OF CIRCUIT BREAKERS WITHIN PERCOLATION MODELS FOR FINANCIAL MARKETS, EFFECTS OF CONTRARIAN INVESTOR TYPE IN ASSET PRICE DYNAMICS, LEARNING DYNAMICS AND NONLINEAR MISSPECIFICATION IN AN ARTIFICIAL FINANCIAL MARKET, Heterogeneous fundamentalists in a continuous time model with delays, IS MORE MEMORY IN EVOLUTIONARY SELECTION (DE)STABILIZING?, A dynamical systems model of price bubbles and cycles, Trading profitability from learning and adaptation on the Tokyo Stock Exchange, HERD BEHAVIOR AND NONFUNDAMENTAL ASSET PRICE FLUCTUATIONS IN FINANCIAL MARKETS, Multi-objective active control policy design for commensurate and incommensurate fractional order chaotic financial systems, BIFURCATION AND CHAOS ANALYSIS IN A DISCRETE-DELAY DYNAMIC MODEL FOR A STOCK MARKET, Leverage causes fat tails and clustered volatility

Cites Work