Dynamics of beliefs and learning under aL-processes -- the heterogeneous case

By Carl Chiarella, Xue-zhong He. 2001

80 citations recorded by the source corpus.

Subfields: Computer Networks and Communications, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/2d347c168c80165f49deb090cc6b0c1130c2e6ad

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computer Networks and Communications

1. Frank H. Westerhoff
2. Xue-zhong He
3. Youwei Li
4. Carl Chiarella
5. Cars H. Hommes
6. Roberto Dieci

In Economics and Econometrics

1. Xue-zhong He
2. Cars H. Hommes
3. Youwei Li
4. Frank H. Westerhoff
5. Carl Chiarella
6. Roberto Dieci
7. Laura Gardini
8. Florian Wagener

Citations in the corpus

• Heterogeneous expectations, exchange rate dynamics and predictability (2007, unknown): “However, Chiarella and He (2003) and He and Westerhoff (2005) analytically show that the behavior of the chartists may be beneficial for market stability in the presence of fundamentalists.”
• A Dynamic Analysis of Moving Average Rules (2006, methodology): “The market price is arrived at via a market maker scenario in line with Beja and Goldman (1980), Day and Huang (1990) and Chiarella and He (2003b) rather than the Walrasian scenario used in Brock and Hommes (1998) and Chiarella and He (2002).”
• Commodity markets, price limiters and speculative price dynamics (2005, background): “Moreover,cobweb models show that complicated price motion may also occur due to nonlinearities (Hommes,1994 ; Brock and Hommes,1997 ; Goeree and Hommes,2000 ; Chiarella and He,2003 ). However,there may exist an additional source for market instability.”
• Time-varying beta: a boundedly rational equilibrium approach (2010, unknown): “Note that the recursive equations for ut−1 and Vt−1 can be considered as limiting cases of geometric decay processes when the memory lag length tends to infinity (see, for example, Chiarella and He 2003).”
• Heterogeneity, convergence, and autocorrelations (2008, methodology): “…1 þ ð1 ÞPt, vt ¼ vt 1 þ ð1 ÞðPt ut 1Þ2, P tþ1 ¼ P t ½1þ ~ t : ð15Þ It has been widely accepted that stability and bifurcation theory is a powerful tool in the study of asset-pricing dynamics (see, for example, Day and Huang (1990), Brock and Hommes (1997, 1998) and Chiarella and He (2002, 2003b)).”
• Asset price and wealth dynamics under heterogeneous expectations (2001, methodology): “A similar approach has been adopted in Brock and Hommes (1997b, 1998) and Chiarella and He (2000, 2001c).”