HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER

By Carl Chiarella, Xue-zhong He. Macroeconomic Dynamics, 2003

170 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/852aa67fdc41946078193a137bb811d95ed95056

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Citations in the corpus

Power-law behaviour, heterogeneity, and trend chasing (2007, methodology): “Various learning schemes (see for example Chiarella and He (2002, 2003)) can be used to estimate the sample meanut and variancevt.”
Complex Evolutionary Systems in Behavioral Finance (2008, background): “Chiarella and He (2003) and Hommes et al. (2005) investigate an ABS with a market maker price setting rule, and find quite similar dynamical behavior as in the case of a Walrasian market clearing price.”
Heterogeneous Expectations and Speculative Behavior in a Dynamic Multi-Asset Framework (2007, methodology): “A sufficiently general framework, which can be generalized in the direction of a multi-asset market, is provided by the single-risky asset dynamic framework of Brock and Hommes (1998), further developed by Chiarella and He (2001, 2003) and He (2003).”
A robust rational route to randomness in a simple asset pricing model (2005, unknown): “The same price adjustment rule has been used recently by Chiarella et al.(2002) and Chiarella and He (2002), who argue that it provides a stylized behavioural rule of the market maker’s role of market-clearing and price-impact.”
A Dynamic Analysis of Moving Average Rules (2006, methodology): “However, despite all the evidence presented in academic journals that security prices follow random walks, and consequently that these security markets are at least weak-form efficient, as defined by Fama (1970), the use of technical trading rules still seems to be widespread amongst financial marke”
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents (2006, methodology): “…interaction of heterogeneous agents have been proposed (Day and Huang (1990), Kirman (1991), Brock and LeBaron (1996), Brock and Hommes (1998), Lux (1998), Gaunersdorfer (2000), Chiarella and He (2001a, 2003), Farmer and Joshi (2002), Chen and Yeh (2002), Hommes et al. (2005), to quote only a few).”
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).”
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)).”