Showing 1 - 10 of 10
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
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...
Persistent link: https://www.econbiz.de/10010643367
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...
Persistent link: https://www.econbiz.de/10010643371
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
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...
Persistent link: https://www.econbiz.de/10008515807
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...
Persistent link: https://www.econbiz.de/10008521819
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/10004984450
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...
Persistent link: https://www.econbiz.de/10004984476
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...
Persistent link: https://www.econbiz.de/10004984536
This paper studies a class of models in which agents' expectations influence the actual dynamics while the expectations themselves are the outcome of some recursive processes with bounded memory. Under the assumptions of heterogeneous expectations (or beliefs) and that the agents update their...
Persistent link: https://www.econbiz.de/10004984553