An evolutionary CAPM under heterogeneous beliefs

From MaRDI portal
Publication:470657

DOI10.1007/S10436-012-0215-0zbMath1298.91132OpenAlexW3124693696MaRDI QIDQ470657

Roberto Dieci, Carl Chiarella, Xue-Zhong He, Kai Li

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp315.pdf




Related Items (18)

Interactions between stock, bond and housing marketsThe persistence of social strategies under increasing competitive pressureCognitive ability and earnings performance: evidence from double auction market experimentsAsset allocation with time series momentum and reversalInvestor overconfidence and the security market line: new evidence from ChinaTime-varying economic dominance in financial markets: A bistable dynamics approachAgents' beliefs and economic regimes polarization in interacting marketsProcedural rationality, asset heterogeneity and market selectionResearch on price Stackelberg game model with probabilistic selling based on complex system theoryOn the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange marketsSome reflections on past and future of nonlinear dynamics in economics and financeContagion between asset markets: a two market heterogeneous agents model with destabilising spillover effectsHerding, trend chasing and market volatilityComputing equilibrium prices for a capital asset pricing model with heterogeneous beliefs and margin-requirement constraintsSpeculative behavior and the dynamics of interacting stock marketsNonlinear effect of sentiment on momentumCross-section instability in financial markets: impatience, extrapolation, and switchingAsynchronous Algorithms for Computing Equilibrium Prices in a Capital Asset Pricing Model




Cites Work




This page was built for publication: An evolutionary CAPM under heterogeneous beliefs