Endogenous fluctuations in a simple asset pricing model with heterogeneous agents

By Andrea Gaunersdorfer. 2000

188 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f4b574dd2b91922094abf0e942d8c5b9cb4b01e7

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

In Finance

Citations in the corpus

A nonlinear structural model for volatility clustering (2000, background): “9 [19] analyzes the case with time varying beliefs about variances and shows that”
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents (2006, background): “…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).”
Financial markets as nonlinear adaptive evolutionary systems (2001, background): “…He (2000), Dacorogna et al (1995), DeGrauwe et al (1993), De Long et al (1990), Farmer (1998), Farmer and Joshi (2000), Frankel and Froot (1988), Gaunersdorfer (2000), Gaunersdorfer and Hommes (2000), Kirman (1991), Kirman and Teyssière (2000), Kurz (1997), LeBaron (2000), LeBaron et al…”
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).”
Stochastic behavioral asset pricing models and the stylized facts (2008, background): “…and have studied the endogenous development of wealth of agent groups as an alternative to switches due to the success or failure of their pre- 28 dictions (Gaunersdorfer, 2000; Chiarella, Dieci and Gardini, 2002, Chiarella and He, 2002, Brock, Hommes andWagener, 2005, DeGrauwe and Grimaldi, 2006).”
HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER (2003, background): “Gaunersdorfer (2000) investigates the Brock–Hommes evolutionary asset-pricing model with time-varying variances, determined by a weighted average (with exponentially decreasing weights) of past squared returns.”
Critical Market Crashes (2003, unknown): “Other relevant works put more emphasis on the heterogeneity and threshold nature of decision making which lead in general to irregular cycles (Takayasu et al., 1992; Youssefmir et al., 1998; Levy et al., 1995; Sato and Takayasu, 1998; Levy et al., 2000; Gaunersdorfer, 2000).”
A robust rational route to randomness in a simple asset pricing model (2005, unknown): “An early example of a heterogeneous agents ﬁnancial market model is Zeeman (1974); other examples include Frankel and Froot (1988), Kirman (1991), Chiarella (1992), Brock (1993, 1997), Lux (1995), Gaunersdorfer (2000) and Westerhoﬀ (2003).”
Asset price and wealth dynamics under heterogeneous expectations (2001, background): “…(1992), Chiarella and He (2000, 2001c), Day and Huang (1990), Franke and Nesemann (1999), Franke and Sethi (1998), Frankel and Froot (1986, 1987), Gaunersdorfer (2000), Gaunersdorfer and Hommes (2000), Gaunersdorfer et al (2000), Hommes (2001), Lux (1995, 1996, 1997, 1998), Lux and Marchesi…”
Evolutionary dynamics in markets with many trader types (2005, background): “The equilibrium equation (33) determines the evolution of the system with trader types - this information is coded in the evolution map :6”
Stability, Chaos and Multiple Attractors: A Single Agent Makes a Difference(Mathematical Economics) (2003, background): “2 Brock/Hommes (1997), Gaunersdorfer (2000) and Goeree/Hommes (2000) study dynamical models where agents update their expectations according to an observed measure such as net profits.”
Heterogeneity, convergence, and autocorrelations (2008, methodology): “A more detailed analysis of the generating mechanism of the long-range dependence and statistical estimates and tests based on Monte Carlo simulation can be found in He and Li (2007). Another related issue is the profitability and survivability of the fundamentalists and chartists. A systematic anal”
Heterogeneous Expectations and Speculative Behavior in a Dynamic Multi-Asset Framework (2007, methodology): “We cite in particular the models that have been proposed by Day and Huang (1990), Brock and Hommes (1998), Lux (1998), Gaunersdorfer (2000), Chiarella and He (2001, 2003), Chiarella et al. (2002), and Fernandez-Rodriguez et al., (2002).”