ChapterHeterogeneity, Market Mechanisms, and Asset Price DynamicsCarl Chiarella2009Heterogeneity, Market Mechanisms, and Asset Price DynamicsCarl Chiarella, Roberto Dieci, Xue-Zhong 'Tony' He2009-01-01chapterElsevier eBooks206 citationsclosedNo readable copy stored yet — this record is metadata only.Economic theories and modelsFinancial Markets and Investment StrategiesComplex Systems and Time Series AnalysisAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 206 citations exist upstream.References1973The Pricing of Options and Corporate Liabilities1986Generalized autoregressive conditional heteroskedasticity1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1952PORTFOLIO SELECTION*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1973An Intertemporal Capital Asset Pricing ModelCited by2009More hedging instruments may destabilize markets2009Applying the method of simulated moments to estimate a small agent-based asset pricing model2017Bubble Formation and (In)Efficient Markets in Learning‐to‐Forecast and optimise Experiments2010Behavioral heterogeneity in the option market2015Profitability of time series momentum2017Herding behaviour and volatility clustering in financial markets2018Heterogeneous Agent Models in Finance ✶ ✶Acknowledgments: We are grateful to the editors, Cars Hommes and Blake LeBaron, and three reviewers for their very helpful comments. We also thank the participants to the Workshop “Handbook of Computational Economics, Volume 4, Heterogeneous Agent Models”, hosted by the Amsterdam School of Economics, University of Amsterdam, for insightful discussions and suggestions. We would like to dedicate this survey to the memory of Carl Chiarella who inspired and collaborated with us on a large body of research covered partially in this chapter. Financial support from the Australian Research Council (ARC) under Discovery Grant (DP130103210) is gratefully acknowledged.2014Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market