Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents

DOI10.1016/J.JEDC.2016.05.005MaRDI QIDQ1655720zbMATH OpenOpenAlexFDO

Authors Daan in 't Veld

Publication date 9 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2016.05.005

zbMATH Keywords

heterogeneous agentsfinancial stabilityasset pricing modelshort-selling bansleverage constraints

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80) Heterogeneous agent models (91B69)

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Cites work

• A Rational Route to Randomness
• Asset price and wealth dynamics under heterogeneous expectations
• Belief disagreements and collateral constraints
• Border-collision bifurcations including ``period two to period three for piecewise smooth systems
• Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Leverage causes fat tails and clustered volatility
• More hedging instruments may destabilize markets
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• The heterogeneous expectations hypothesis: Some evidence from the lab
• The impact of short-selling constraints on financial market stability in a heterogeneous agents model
• ``Period three to period two bifurcation for piecewise linear models

Cited in

(15)

• Two-dimensional stochastic dynamics as model for time evolution of the financial market
• Identifying booms and busts in house prices under heterogeneous expectations
• The period of financial distress in speculative markets: interacting heterogeneous agents and financial constraints
• Financial leverage and market volatility with diverse beliefs
• Does the ``uptick rule stabilize the stock market? Insights from adaptive rational equilibrium dynamics
• Breaks down of the modeling of the financial market with addition of non-linear terms in the Itô stochastic process
• The impact of short-selling constraints on financial market stability in a heterogeneous agents model
• Modeling of the financial market using the two-dimensional anisotropic Ising model
• Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations
• An asset pricing model with accuracy-driven evolution of heterogeneous expectations
• Short-sale constraints, information acquisition, and asset prices
• Stochastic process with multiplicative structure for the dynamic behavior of the financial market
• Arbitrage with financial constraints and market power
• The consequences of short-sale constraints on the stability of financial markets. With a foreword by Axel Wieandt and Sebastian Moenninghoff
• Price dynamics of the financial markets using the stochastic differential equation for a potential double well

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