The paper extracts a prototype asset pricing model from the literature where a market maker adjusts prices in response to order imbalances and the strategies of fundamentalists and chartists are position-based, that is, the two groups are specified in terms of their desired holdings. The...

In the framework of small-scale agent-based financial market models, the paper starts out from the concept of structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and the time-varying market shares of the two groups. It...

The paper is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes (2007) and the other by He and Li (2007). At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that...