A model of financial market dynamics with heterogeneous beliefs and state-dependent confidence

DOI10.1007/S10614-008-9131-9MaRDI QIDQ943958zbMATH OpenOpenAlexFDO

Authors Carl Chiarella, Roberto Dieci, Laura Gardini, Lucia Sbragia

Publication date 12 September 2008

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10453/9952

zbMATH Keywords

Bifurcation analysisCoexisting attractorsFinancial market dynamicsHeterogeneous beliefs

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• A Rational Route to Randomness
• A robust rational route to randomness in a simple asset pricing model
• Bifurcations of circle maps: Arnol'd tongues, bistability and rotation intervals
• Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Heterogeneous beliefs, risk and learning in a simple asset pricing model
• HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 1487833 (Why is no real title available?)
• MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES
• Some Methods for the Global Analysis of Closed Invariant Curves in Two-Dimensional Maps
• The dynamics of speculative behaviour

Cited in

(6)

• Localization of compact invariant sets of a new nonlinear finance chaotic system
• Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach
• A dynamic stochastic model of asset pricing with heterogeneous beliefs
• Belief aggregation in financial markets and the nature of price fluctuations
• Time-varying economic dominance in financial markets: a bistable dynamics approach
• A model of financial markets with endogenously correlated rational beliefs

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