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Heterogeneity, Convergence, and Autocorrelations
He, Xuezhong - 2009
This paper is a contribution to the literature on the explanatory power and calibration of heterogeneous asset pricing models. We set out a new stochastic market-fraction asset pricing model of fundamentalists and trend followers under a market maker. Our model explains key features of financial...
Persistent link: https://www.econbiz.de/10012764444
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Power-Law Behaviour , Heterogeneity, and Trend Chasing
He, Xuezhong - 2009
Long-range dependence in volatility is one of the most prominent examples in financial market research involving universal power laws. Its characterization has recently spurred attempts to provide some explanations of the underlying mechanism. This paper contributes to this recent line of...
Persistent link: https://www.econbiz.de/10012764445
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Testing of a market fraction model and power-law behaviour in the DAX 30
He, Xue-Zhong; Li, Youwei - In: Journal of Empirical Finance 31 (2015) C, pp. 1-17
This paper tests a simple market fraction asset pricing model with heterogeneous agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squared returns) of the market fraction model...
Persistent link: https://www.econbiz.de/10011263472
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Long Memory, Heterogeneity and Trend Chasing
He, Xue-Zhong; Li, Youwei - Finance Discipline Group, Business School - 2005
Long-range dependence in volatility is one of the most prominent examples of applications in financial market research involving universal power laws. Its characterization has recently spurred attempts at theoretical explanation of the underlying mechanism. This paper contributes to this recent...
Persistent link: https://www.econbiz.de/10004984561
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Heterogeneity, Profitability and Autocorrelations
Li, Youwei; Xue-Zhong (Tony) He - Society for Computational Economics - SCE - 2005
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...
Persistent link: https://www.econbiz.de/10005132656
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Adaptive learning in the Cobweb with an endogenous gain sequence
Colucci, Domenico; Valori, Vincenzo - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2004
We develop a learning rule that generalises the well known fading memory learning in the sense that the weights attached to the available time series data are not constant and are updated in light of the forecast error(s). The underlying idea is that confidence in the available data will be low...
Persistent link: https://www.econbiz.de/10008559137
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Asset price dynamics when behavioural heterogeneity varies
Colucci, Domenico; Valori, Vincenzo - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2006
We build a model in which asset prices are expectationally driven and agents forecast future prices hinging on a combination of fundamental value, trend and inertia. The model has a unique steady state and we investigate its stability. In particular the amount of behavioural heterogeneity in the...
Persistent link: https://www.econbiz.de/10008555461
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Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach
Klein, A.; Urbig, D.; Kirn, S. - Volkswirtschaftliche Fakultät, … - 2008
markets are largely unobservable. We take an estimation perspective to obtain daily time series of fractions of chartists and … to be mapped to empirical data by the estimation method. This poses heavy computational burdens. Our contribution to this … the estimation procedure, estimate only non-time varying parameters, or estimate only low frequency time series. Approach …
Persistent link: https://www.econbiz.de/10005835845
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Forecasting Fundamental Asset Return Distributions and Tests for Excess Volatility and Bubbles.
Donaldson, R.G.; Kamstra, M. - Department of Economics, Simon Fraser University - 1996
This paper develops an augmented Artificial Neural Network forecast-simulation procedure for estimating both the current fundamental price of a financial asset and the state-dependent distribution (including volatilities) from which future returns will be fundamentally drawn. The results provide...
Persistent link: https://www.econbiz.de/10005767732
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Forecasting Fundamental Asset Return Distributions and Tests for Excess Volatility and Bubbles.
Donaldson, R.G.; Kamstra, M. - 1996
This paper develops an augmented Artificial Neural Network forecast-simulation procedure for estimating both the current fundamental price of a financial asset and the state-dependent distribution (including volatilities) from which future returns will be fundamentally drawn. The results provide...
Persistent link: https://www.econbiz.de/10005776767