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

DOI10.1016/J.CNSNS.2022.106975zbMATH Open1502.91057OpenAlexW4308491182MaRDI QIDQ2108729FDOQ2108729

Fabio Lamantia, Mikhail Anufriev, 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

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zbMATH Keywords

nonlinear dynamicsprediction accuracyheterogeneous beliefsasset-pricing model

Mathematics Subject Classification ID

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

Cites Work

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• Continuous and discontinuous piecewise-smooth one-dimensional maps. Invariant sets and bifurcation structures
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
• Behavioral heterogeneity in stock prices
• The heterogeneous expectations hypothesis: Some evidence from the lab
• HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
• A robust rational route to randomness in a simple asset pricing model
• Financial markets as nonlinear adaptive evolutionary systems
• Asset price dynamics with heterogeneous beliefs and local network interactions
• Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents
• The impact of short-selling constraints on financial market stability in a heterogeneous agents model
• A laboratory experiment on the heuristic switching model
• Does the ``uptick rule stabilize the stock market? Insights from adaptive rational equilibrium dynamics

Cited In (1)

• An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects

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