This paper contributes to the development of recent literature on the explanation power and calibration issue of heterogeneous asset pricing models by presenting a simple stochastic market fraction asset pricing model of two types of traders (fundamentalists and trend followers) under a market...

Following the framework of a one risky - one riskless asset model developed by Brock and Hommes (1998), this paper considers a discrete-time model of a financial market where heterogeneous groups of agents allocate their wealth amongst multiple risky assets and a riskless asset. Agents follow...

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...

We introduce a heterogeneous agent asset pricing model in continuoustime to show that trend chasing, switching and herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On the one hand, the fluctuations of market price and...

The market selection depends on agent's survival index, which is a function of agent's belief and risk preference. When preferences are identical, the survival index of an agent is a decreasing function of his belief accuracy and therefore agent survives if and only if he has the lowest survival...

Heterogeneity and evolutionary behaviour of investors are two of the most important characteristics of financial markets. This papers incorporates the adaptive behaviour of agents with heterogeneous beliefs and establishes an evolutionary capital asset pricing model (ECAPM) within the...

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...

When people agree to disagree, this paper examines the impact of the disagreement among agents on market equilibrium and equity premium. Within the standard mean variance framework, we consider a market of two risky assets, a riskless asset and two (and then a continuum of) agents who have...

Within a continuous-time framework, this paper proposes a stochastic heterogeneous agent model (HAM) of financial markets with time delays to unify various moving average rules used indiscrete-time HAMs. The time delay represents a memory length of a moving average rule indiscrete-time...

With the standard mean variance framework, by assuming heterogeneity and bounded rationality of investors, this paper examines their impact on the market equilibrium and implications to the portfolio analysis. By constructing a market consensus belief, we establish market equilibrium prices of...