Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders

DOI10.1016/J.JEDC.2013.01.011zbMath1402.91155OpenAlexW1994738288MaRDI QIDQ1994238

Yanyan Li

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2013.01.011

zbMATH Keywords

asset pricingheterogeneous agentsvolatility clusteringmultiple investment scales

Mathematics Subject Classification ID

Cites Work

• The heterogeneous expectations hypothesis: Some evidence from the lab
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• Asset price and wealth dynamics in a financial market with heterogeneous agents
• Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders
• Power-law behaviour, heterogeneity, and trend chasing
• Investor heterogeneity, asset pricing and volatility dynamics
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Asset prices, traders' behavior and market design
• Wealth-driven competition in a speculative financial market: examples with maximizing agents
• Corporate Governance and Equity Prices
• Empirical properties of asset returns: stylized facts and statistical issues
• Asset price and wealth dynamics under heterogeneous expectations
• Asset Pricing with Heterogeneous Investment Horizons

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