Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
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Publication:426665
DOI10.1016/J.JEDC.2012.02.002zbMATH Open1239.91112OpenAlexW2126736949MaRDI QIDQ426665FDOQ426665
Authors: Xue-Zhong He, Kai Li 
Publication date: 11 June 2012
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/18835
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stabilitybounded rationalityheterogeneous beliefsstochastic delay differential equationsadaptivenesschartistsfundamentalists
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Heterogeneous agent models (91B69)
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Cited In (36)
- Heterogeneity, convergence, and autocorrelations
- HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
- From discrete to continuous time evolutionary finance models
- Asset pricing with heterogeneous beliefs and illiquidity
- Herding, trend chasing and market volatility
- Portfolio selection with inflation-linked bonds and indexation lags
- A structural analysis of price dynamics for a heterogeneous asset-pricing model with market marker
- Time to build and bond risk premia
- Time to build and bond risk premia
- Agents' beliefs and economic regimes polarization in interacting markets
- Asset price dynamics when behavioural heterogeneity varies
- Voluntary information disclosure with heterogeneous beliefs
- Exploitation of renewable resources with differentiated technologies: an evolutionary analysis
- An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects
- Bifurcation and chaos analysis in a discrete-delay dynamic model for a stock market
- Recent developments in asset pricing with heterogeneous beliefs and adaptive behaviour of financial markets
- Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
- Heterogeneous fundamentalists in a continuous time model with delays
- Financial power laws: empirical evidence, models, and mechanisms
- Climate change adaptation under heterogeneous beliefs
- Nonlinear effect of sentiment on momentum
- Fundamentalists, chartists and asset pricing anomalies
- Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends
- Herding, a-synchronous updating and heterogeneity in memory in a CBS
- A simple asset pricing model with social interactions and heterogeneous beliefs
- Speculative bubbles and talent misallocation
- A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market
- Time-varying economic dominance in financial markets: a bistable dynamics approach
- Heterogeneous beliefs, risk and learning in a simple asset pricing model
- A continuous time Cournot duopoly with delays
- Asset allocation with time series momentum and reversal
- Conditions for bubbles to arise under heterogeneous beliefs
- Disequilibrium dynamics in a Keynesian model with time delays
- A dynamic stochastic model of asset pricing with heterogeneous beliefs
- A heterogeneous agent model of asset price dynamics with two time delays
- Some reflections on past and future of nonlinear dynamics in economics and finance
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