Asset price and wealth dynamics under heterogeneous expectations
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Publication:4646504
DOI10.1088/1469-7688/1/5/303zbMATH Open1405.91218OpenAlexW1606189865MaRDI QIDQ4646504FDOQ4646504
Authors: Carl Chiarella, Xue-Zhong He 
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/1/5/303
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Cited In (52)
- Macro-financial dynamics: theories, empirical methods, and time scales
- Heterogeneity, convergence, and autocorrelations
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- Uncertainty, expectations and asset price dynamics. Essays in honor of Georges Prat
- An asset pricing model with accuracy-driven evolution of heterogeneous expectations
- Wealth distribution in an asset pricing model: the role of the switching mechanism
- Asset pricing with endogeneous aspirations
- Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders
- Complex dynamics in an asset pricing model with updating wealth
- The long-run behavior of consumption and wealth dynamics in complete financial market with heterogeneous investors
- Evolution of heterogeneous beliefs and asset overvaluation
- Asset prices and wealth dynamics in a financial market with random demand shocks
- Itchy feet vs cool heads: flow of funds in an agent-based financial market
- Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
- Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics
- A simulation analysis of the microstructure of double auction markets*
- Volatility clustering in agent based market models
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- Evolution and market behavior with endogenous investment rules
- Fuzzy options with application to default risk analysis for municipal bonds in China
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- Solving an incomplete markets model with a large cross-section of agents
- Universal bounds for asset prices in heterogeneous economies
- Heterogeneous agents in multi-markets: a coupled map lattices approach
- An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects
- Examining the effectiveness of price limits in an artificial stock market
- Updating wealth in an asset pricing model with heterogeneous agents
- Excess covariance and dynamic instability in a multi-asset model
- Markets with heterogeneous beliefs: a necessary and sufficient condition for a trader to vanish
- Behavioral heterogeneity in the option market
- Market equilibria under procedural rationality
- A behavioral asset pricing model with a time-varying second moment
- An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
- Cognitive ability and earnings performance: evidence from double auction market experiments
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- Commodity markets, price limiters and speculative price dynamics
- Asset pricing with flexible beliefs
- Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders
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- Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates
- A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market
- Order book, financial markets, and self-organized criticality
- Market-maker, inventory control and foreign exchange dynamics
- Co-existence of trend and value in financial markets: estimating an extended Chiarella model
- Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents
- Heterogeneous fundamentalists and market maker inventories
- Forecasting macroeconomic fundamentals in economic crises
- Genetic learning as an explanation of stylized facts of foreign exchange markets
- Asset prices, traders' behavior and market design
- Asset price dynamics among heterogeneous interacting agents
- Some reflections on past and future of nonlinear dynamics in economics and finance
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