We propose a novel agent-based financial market framework in which speculators usually follow their own individual technical and fundamental trading rules to determine their orders. However, there are also sunspot-initiated periods in which their trading behavior is correlated. We are able to...

Within the seminal asset-pricing model by Brock and Hommes (1998), heterogeneous boundedly rational agents choose between a fixed number of expectation rules to forecast asset prices. However, agents' heterogeneity is limited in the sense that they typically switch between a representative...

We propose an empirically motivated financial market model in which speculators rely on trend-following, contrarian and fundamental trading rules to determine their orders. Speculators' probabilistic rule-selection behavior - the only type of randomness in our model - depends on past and future...

We propose a parsimonious agent-based model of a financial market at the intra-day time scale that is able to jointly reproduce many of the empirically validated stylised facts. These include properties related to returns (leptokurtosis, absence of linear autocorrelation, volatility clustering),...

This article aims at verifying if there has been a structural change in the co-movement pattern of selected Central and Eastern Europe (CEE) over the ten-year period following the financial crisis. The empirical results confirmed that such a change was observed both in the correlation and...

We introduce a heterogeneous agent asset pricing model in continuous-time to show that, although trend chasing, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are different. The fluctuations of the market price and return...

We introduce a heterogeneous agent asset pricing model in continuous-time 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...

We propose a continuous-time heterogeneous agent model consisting of fundamental, momentum, and contrarian traders to explain the significant time series momentum. We show that the market under-reacts in short-run and over-reacts in long-run when momentum traders dominate the market, which...

Asset pricing theorists have recently started to study the market impact of differences in beliefs among participants. The analysis is often carried out in the framework of Radner's perfect foresight ('rational expectations') equilibrium. Here, we study when this makes sense. In particular, we...