An asset pricing model with accuracy-driven evolution of heterogeneous expectations

DOI10.1016/J.CNSNS.2022.106975MaRDI QIDQ2108729zbMATH OpenOpenAlexFDO

Authors Mikhail Anufriev, Fabio Lamantia, Davide Radi, Tomáš Tichý

Publication date 20 December 2022

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2022.106975

zbMATH Keywords

nonlinear dynamicsprediction accuracyheterogeneous beliefsasset-pricing model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Heterogeneous agent models (91B69)

Recommendations

• Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
• A dynamic stochastic model of asset pricing with heterogeneous beliefs
• Heterogeneous beliefs, risk and learning in a simple asset pricing model
• Asset price and wealth dynamics under heterogeneous expectations
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model

Cites work

• scientific article; zbMATH DE number 858900 (Why is no real title available?)
• A laboratory experiment on the heuristic switching model
• A robust rational route to randomness in a simple asset pricing model
• Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents
• Asset price dynamics with heterogeneous beliefs and local network interactions
• Behavioral heterogeneity in stock prices
• Continuous and discontinuous piecewise-smooth one-dimensional maps. Invariant sets and bifurcation structures
• Does the ``uptick rule stabilize the stock market? Insights from adaptive rational equilibrium dynamics
• Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
• Financial markets as nonlinear adaptive evolutionary systems
• HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• The heterogeneous expectations hypothesis: Some evidence from the lab
• The impact of short-selling constraints on financial market stability in a heterogeneous agents model

Cited in

(2)

• An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects
• Fundamentalists vs. chartists: learning and predictor choice dynamics

This page was built for publication: An asset pricing model with accuracy-driven evolution of heterogeneous expectations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2108729)