Fundamentalists, chartists and asset pricing anomalies

DOI10.1080/14697688.2014.972434zbMATH Open1406.91152OpenAlexW2158136030MaRDI QIDQ4619488FDOQ4619488

Authors: Sandrine Jacob Leal 

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.972434

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zbMATH Keywords

bounded rationalityasset pricingvolatility clusteringexcess volatilityheterogeneous agent modelreturn correlation

Mathematics Subject Classification ID

Heterogeneous agent models (91B69)

Cites Work

• Empirical properties of asset returns: stylized facts and statistical issues
• Introduction to Econophysics
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning
• The Present-Value Relation: Tests Based on Implied Variance Bounds
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Heterogeneous beliefs, risk and learning in a simple asset pricing model
• The dynamics of speculative behaviour
• A dynamic analysis of moving average rules
• Time series properties of an artificial stock market
• Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
• 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
• Time variation of second moments from a noise trader/infection model
• Market-maker, inventory control and foreign exchange dynamics
• Theory of Financial Risk and Derivative Pricing
• Asset price anomalies under bounded rationality
• An introduction to statistical finance
• Exponentially fading memory learning in forward-looking economic models.

Cited In (9)

• Wealth share analysis with ``fundamentalist/chartist heterogeneous agents
• Exchange rate expectations of chartists and fundamentalists
• A homoclinic route to volatility: dynamics of asset prices under autoregressive forecasting
• Asset price anomalies under bounded rationality
• Mood, memory, and the evaluation of asset prices
• A behavioral asset pricing model with a time-varying second moment
• The market economy unchecked
• Fundamentalists vs. chartists: learning and predictor choice dynamics
• Title not available (Why is that?)

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