Asset price and wealth dynamics under heterogeneous expectations

By Carl Chiarella, Xue-zhong He. 2001

218 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f424854e6f941d86819cc22481954dea2e5184b4

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

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

In Finance

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

Citations in the corpus

• Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents (2006, methodology): “Chiarella and He (2001b) derive the following approximate optimal solution (which we adopt in the present paper) 5See e.g. Campbell and Viceira (2002).”
• Power-law behaviour, heterogeneity, and trend chasing (2007, background): “3In this regard see, Gaunersdorfer (2000), Hommes (2001, 2002), Chiarella and He (2001, 2002, 2003), Chiarella et al. (2002), De Grauwe and Grimaldi (2003) and Westerhoff (2003).”
• Speculative behaviour and complex asset price dynamics: a global analysis (2002, background): “Chiarella and He (2001b) have developed a model of heterogeneous agents with logarithmic utility function which takes explicit account of the wealth dynamics of each group, but the analysis of this model is only possible via computer simulations.”
• A simulation analysis of the microstructure of double auction markets (2002, methodology): “Such a result is known from simple theoretical models of financial market dynamics, e.g. Lux and Marchesi (1999), Brock and Hommes (1998) and Chiarella and He (2001).”
• Heterogeneity, convergence, and autocorrelations (2008, unknown): “…(1997), Hommes (2002), Brock and LeBaron (1996), Bullard and Duffy (1999), Chen and Yeh (1997, 2002), Chiarella (1992), Chiarella et al. (2002), Chiarella and He (2001, 2002, 2003b), Dacorogna et al. (1995), Day and Huang (1990), DeLong et al. (1990), Farmer and Joshi (2002), Frankel and Froot…”
• Complex Evolutionary Systems in Behavioral Finance (2008, background): “Chiarella and He (2001) consider the case with constant relative risk aversion (CRRA) utility.”
• Time-varying beta: a boundedly rational equilibrium approach (2010, unknown): “Instead, a CRRA utility function would imply that the optimal decision depends on investor’s wealth and hence the market equilibrium involves both prices and the investor’s wealth shares, see for example Chiarella and He (2001).”
• 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): “Chiarella and He (2001) consider the case with constant relative risk aversion (CRRA) utility, so that investors’ relative wealth affects asset demand and realized asset price, and study wealth and asset price dynamics in such a heterogeneous agents framework22.”