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Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers

Chiarella, Carl; He, Xue-Zhong; Zhu, Peiyuan - Finance Discipline Group, Business School - 2003

memory decay rate of the learning GPD. The dynamics of such heterogeneous learning processes and capability of producers …' learning are discussed. It is found that the learning memory decay rate of the GDP of heterogeneous producers plays a …

Persistent link: https://www.econbiz.de/10004984482

Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case

Chiarella, Carl; He, Xue-Zhong - Finance Discipline Group, Business School - 2001

themselves are the outcome of some learning process. Under the assumptions that agents have homogeneous expectations (or beliefs … expectations and learning schemes are analyzed. It is shown how the dynamics of the system, including stability, instability and … bifurcation, are affected by the learning processes. The cobweb model with a simple homogeneous expectation scheme is employed as …

Persistent link: https://www.econbiz.de/10004984509

Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case

Chiarella, Carl; He, Xue-Zhong - Finance Discipline Group, Business School - 2001

resulting expectations and learning schemes are analyzed. It is shown that the dynamics of the system, including stability …

Persistent link: https://www.econbiz.de/10004984553

Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model

He, Xue-Zhong; Li, Kai - Finance Discipline Group, Business School - 2011

This paper extends the analysis of the seminal paper of Brock and Hommes (1998) on heterogeneous beliefs and routes to chaos in a simple asset price model in discrete-time to a model in continuous-time. The resulting model characterized mathematically by a system of stochastic delay differential...

Persistent link: https://www.econbiz.de/10009357757

Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets

He, Xue-Zhong - Finance Discipline Group, Business School - 2012

Heterogeneity and interacting among boundedly rational agents have received an increasing attention in the finance and economics literature. Recent developments on the role of heterogeneous beliefs on asset pricing and the adaptive behaviour of financial markets shed light into the complex...

Persistent link: https://www.econbiz.de/10010643373

Heterogeneity, Market Mechanisms, and Asset Price Dynamics

Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong - Finance Discipline Group, Business School - 2008

This chapter surveys the boundedly rational heterogeneous agent (BRHA) models of financial markets, to the development of which the authors and several co-authors have contributed in various papers. We give particular emphasis to role of the market clearing mechanism used, the utility function...

Persistent link: https://www.econbiz.de/10004984519

Heterogeneity, Bounded Rationality and Market Dysfunctionality

He, Xue-Zhong; Shi, Lei - Finance Discipline Group, Business School - 2008

As the main building blocks of the modern finance theory, homogeneity and rational expectation have faced difficulty in explaining many market anomalies, stylized factors, and market inefficiency in empirical studies. As a result, heterogeneity and bounded rationality have been used as an...

Persistent link: https://www.econbiz.de/10004984556

Estimation of an Adaptive Stock Market Model with Heterogeneous Agents

Amilon, Henrik - Finance Discipline Group, Business School - 2003

Standard economic models based on rational expectations and homogeneity have problems to explain the complex and volitile nature of financial markets. Recently, boundedly rational and heterogeneous agents models have been developed, and simulated returns are found to exhibit various stylized...

Persistent link: https://www.econbiz.de/10005102336

Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices

Bohm, Volker; Chiarella, Carl - Finance Discipline Group, Business School - 2000

This paper analyzes the dynamics of a general explicit random price process of finitely many assets in an economy with overlapping generations of heterogeneous consumers forming optimal portfolios, extending the one dimensional investigation of Bohm, Deutscher and Wenzelburger (2000). Consumers...

Persistent link: https://www.econbiz.de/10004984499

Long Memory, Heterogeneity and Trend Chasing

He, Xue-Zhong; Li, Youwei - Finance Discipline Group, Business School - 2005

follow a trend which is updated through a geometric learning process. Our analysis shows that the heterogeneity, trend … chasing through learning, and the interplay of noisy processes and a stable deterministic equilibrium can be the source of …

Persistent link: https://www.econbiz.de/10004984561