Behavioral Heterogeneity in Stock Prices

By P. Boswijk, Cars H. Hommes, Sebastiano Manzan, H. Peter Boswijk. 2007

481 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2d2fa7b5311638131364b5c683b54daab49d39d1

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Citations in the corpus

A simple model of a speculative housing market (2012, background): “8 Empirical support for this formulation can be found in Boswijk et al. (2007) and Westerhoff and Franke (2011) who estimate small-scale agent-based financial market models which are based on this sort of speculative demand functions.”
Confidence and the Stock Market: An Agent-Based Approach (2014, background): “Chartists Recent trends in the literature show an increasing interest in chartist trade behavior, sometimes called ‘‘noise trading’’ [20,21].”
On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders (2010, methodology): “Moreover, Boswijk et al. (2007) estimate Brock and Hommesmodel using yearly S&P 500 data and nd signicant evidence for such a kind of trading behavior.”
Behavioral & Experimental Macroeconomics and Policy Analysis: A Complex Systems Approach (2018, methodology): “Boswijk et al. (2007) and Hommes & Veld (2017) use the dynamic Gordon model with time variation in the interest rate and the growth rate of dividends.”
Complex Evolutionary Systems in Behavioral Finance (2008, methodology): “In this section, we discuss the estimation of a simple two type asset pricing model with heterogeneous beliefs, as discussed in section 1.1, on yearly S&P 500 data, 1871-2003, as done in Boswijk et al. (2007).”
Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments (2012, unknown): “Recently, models with heterogeneous expectations and evolutionary selection among forecasting rules have been proposed, in Brock and Hommes (1997) and Branch and Evans (2006), see Hommes (2006) for an extensive overview.”
Stock Market Volatility and Learning (2008, background): “Stock price behavior under Bayesian learning has been studied in the work of Timmermann (1993, 1996), Brennan and Xia (2001), Cecchetti, Lam, and Mark (2000), and Cogley and Sargent (2008), among others.”