An asset pricing model with accuracy-driven evolution of heterogeneous expectations

DOI10.1016/j.cnsns.2022.106975zbMath1502.91057OpenAlexW4308491182MaRDI QIDQ2108729

Fabio Lamantia, Mikhail Anufriev, Davide Radi, Tomas Tichý

Publication date: 20 December 2022

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2022.106975

zbMATH Keywords

nonlinear dynamicsheterogeneous beliefsprediction accuracyasset-pricing model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Heterogeneous agent models (91B69)

Cites Work

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