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Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework
11 references·16 citing·39 second hop
Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework (2006)Heterogeneous expectations and speculativ…MULTIASSET MARKET DYNAMICS (2004)MULTIASSET MARKET DYNAMICSHETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER (2003)HETEROGENEOUS BELIEFS, RISK, …Speculative behaviour and complex asset price dynamics: a global analysis (2002)Speculative behaviour and com…Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model (2002)Heterogeneous Beliefs, Risk a…Financial markets as nonlinear adaptive evolutionary systems (2001)Financial markets as nonlinea…Endogenous fluctuations in a simple asset pricing model with heterogeneous agents (2000)Endogenous fluctuations in a …The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)The socio-economic dynamics o…Heterogeneous beliefs and routes to chaos in a simple asset pricing model (1998)Heterogeneous beliefs and rou…A Rational Route to Randomness (1997)A Rational Route to RandomnessBulls, bears and market sheep (1990)Bulls, bears and market sheepOn The Dynamic Behavior of Prices in Disequilibrium (1980)On The Dynamic Behavior of Pr…From standard to evolutionary finance: a literature survey (2018)From standard to evolutionary…Cognitive ability and earnings performance: Evidence from double auction market experiments (2017)Cognitive ability and earning…An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets (2017)An analysis of the effect of …Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear economic dynamics approach (2016)Heterogeneous expectations, b…Speculative behavior and the dynamics of interacting stock markets (2014)Speculative behavior and the …Heterogeneous expectations in the gold market: Specification and estimation (2014)Heterogeneous expectations in…Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 (2014)Heterogeneous expectations in…The New Keynesian Approach to Dynamic General Equilibrium Modeling: Models, Methods and Macroeconomic Policy Evaluation (2013)The New Keynesian Approach to…Model comparison and robustness: a proposal for policy analysis after the financial crisis (2012)Model comparison and robustne…Time-varying beta: a boundedly rational equilibrium approach (2011)Time-varying beta: a boundedl…The diversity of forecasts from macroeconomic models of the US economy (2010)The diversity of forecasts fr…Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates (2009)Heterogeneous speculators, en…A Framework for CAPM with Heterogeneous Beliefs (2009)A Framework for CAPM with Het…Complex Evolutionary Systems in Behavioral Finance (2008)Complex Evolutionary Systems …Power-law behaviour, heterogeneity, and trend chasing (2007)Power-law behaviour, heteroge…Heterogeneity, convergence, and autocorrelations (2007)Heterogeneity, convergence, a…A robust rational route to randomness in a simple asset pricing model (2004)Asset price and wealth dynamics in a financial market with heterogeneous agents (2006)Structural Change and Economic Dynamics (2011)Journal of Economic Dynamics and Control (2013)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Permanent and Temporary Components of Stock Prices (1988)Noise Trader Risk in Financial Markets (1990)Evolutionary dynamics in markets with many trader types (2004)Heterogeneity, Market Mechanisms, and Asset Price Dynamics (2009)Financial power laws: Empirical evidence, models, and mechanisms (2016)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)The Review of Economics and Statistics (1997)Agent-based computational finance: Suggested readings and early research (2000)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Chapter 24 Agent-based Computational Finance (2006)Asset Prices in an Exchange Economy (1978)Time series properties of an artificial stock market (1999)Heterogeneous Agent Models in Economics and Finance (2005)The Economy as an Evolving Complex System II (2018)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)More statistical properties of order books and price impact (2003)Agent-based models of financial markets (2007)Price stability and volatility in markets with positive and negative expectations feedback: An experimental investigation (2009)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems (2013)Discrete Choice Theory of Product Differentiation (1992)Modeling the stylized facts in finance through simple nonlinear adaptive systems (2002)Bifurcation routes to volatility clustering under evolutionary learning (2007)Rational Expectations and the Theory of Price Movements (1961)Exchange rate puzzles: A tale of switching attractors (2004)The impact of heterogeneous trading rules on the limit order book and order flows (2008)Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)Speculative markets and the effectiveness of price limits (2003)Commodity markets, price limiters and speculative price dynamics (2004)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)
this work references cited by second hop

References

  • 1997A Rational Route to Randomness1,724 cited
  • 1998Heterogeneous beliefs and routes to chaos in a simple asset pricing model1,697 cited
  • 1998The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions641 cited
  • 1990Bulls, bears and market sheep619 cited
  • 1980On The Dynamic Behavior of Prices in Disequilibrium327 cited
  • 2001Financial markets as nonlinear adaptive evolutionary systems324 cited
  • 2002Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model225 cited
  • 2003HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER173 cited
  • 2000Endogenous fluctuations in a simple asset pricing model with heterogeneous agents162 cited
  • 2002Speculative behaviour and complex asset price dynamics: a global analysis153 cited
  • 2004MULTIASSET MARKET DYNAMICS115 cited

Cited by

  • 2007Power-law behaviour, heterogeneity, and trend chasing102 cited
  • 2009Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates80 cited
  • 2014Heterogeneous expectations in asset pricing: Empirical evidence from the S&P50074 cited

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2016
Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear economic dynamics approach
73 cited
  • 2007Heterogeneity, convergence, and autocorrelations65 cited
  • 2010The diversity of forecasts from macroeconomic models of the US economy59 cited
  • 2014Speculative behavior and the dynamics of interacting stock markets59 cited
  • 2008Complex Evolutionary Systems in Behavioral Finance49 cited
  • 2017An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets44 cited
  • 2014Heterogeneous expectations in the gold market: Specification and estimation40 cited
  • 2018From standard to evolutionary finance: a literature survey27 cited
  • 2009A Framework for CAPM with Heterogeneous Beliefs26 cited
  • 2011Time-varying beta: a boundedly rational equilibrium approach18 cited
  • 2012Model comparison and robustness: a proposal for policy analysis after the financial crisis15 cited
  • 2017Cognitive ability and earnings performance: Evidence from double auction market experiments14 cited
  • 2013The New Keynesian Approach to Dynamic General Equilibrium Modeling: Models, Methods and Macroeconomic Policy Evaluation12 cited