A dynamic stochastic model of asset pricing with heterogeneous beliefs

DOI10.1007/s10614-009-9189-zzbMath1183.91115OpenAlexW2049420981MaRDI QIDQ2267813

Roy Cerqueti, Elisabetta Michetti, Serena Brianzoni

Publication date: 2 March 2010

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://openresearch.lsbu.ac.uk/download/f0a329bc44fdebad4490f941a56f0b57087f6de0f967a32d48da1c75e1948821/1231443/Bri_Cer_Mic_CE_REVISED.pdf

zbMATH Keywords

stochastic processheterogeneous agentsnumerical simulationsstability regionimitative behaviorasset pricing dynamical model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Heterogeneous agent models (91B69)

Related Items

A class of evolutionary models for participation games with negative feedback

Cites Work

• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• A Rational Route to Randomness
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item