Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
By Hans Föllmer, Ulrich Horst, Alan Kirman. 2005
139 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/51aa803f43407a1836d73c75f365e448fb73c0c8
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Cars H. Hommes
- Xue-zhong He
- Carl Chiarella
- Florian Wagener
- Thomas Lux
- Roberto Dieci
- Frank H. Westerhoff
- Duo Wang
In Finance
- Xue-zhong He
- Cars H. Hommes
- Carl Chiarella
- Florian Wagener
- Thomas Lux
- Duo Wang
- Friedrich Wagner
- Simone Alfarano
Citations in the corpus
- Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach (2008, background): “Evidence for volatility clustering as an emergent phenomenon of a multi-agent model appeared first in Grannen and Swindle [1994]. While a large body of subsequent models studied artificial markets with heterogenous autonomous agents often endowed with some sort of artificial intelligence (classifier”
- The stochastic bifurcation behaviour of speculative financial markets (2008, background): “[9] study the existence and uniqueness of the limit distribution in a discrete financial market model with different expectations through stochastic learning and Böhm and Chiarella [4] investigate the long-run behaviour (stationary solutions) for mean-variance preferences under various predictors.”
- Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd, Elsevier, Amsterdam 2006, pp.1109-1186 (2005, background): “A related stochastic model with heterogeneous agents and endogenous strategy switching similar to the ABS has recently been introduced in Föllmer et al. (2005).”
- Behavioral & Experimental Macroeconomics and Policy Analysis: A Complex Systems Approach (2018, methodology): “Kirman (1993) proposed a stochastic model of recruitment through local interactions, based on Follmer (1974) and more recently extended in Follmer et al. (2005).”
- Complex Evolutionary Systems in Behavioral Finance (2008, background): “17Another related stochastic model with heterogeneous agents and endogenous strategy switching similar to the ABS has been introduced in Föllmer et al. (2005).”