Kukacka, Jiri; Barunik, Jozef - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 23, pp. 5920-5938
The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model … analysis using the Heterogeneous Agent Model extended with the selected findings from behavioural finance: herding …, overconfidence, and market sentiment. We show that these behavioural breaks can be well modelled via the Heterogeneous Agent Model …