Asset prices, traders' behavior and market design

DOI10.1016/j.jedc.2008.09.008zbMath1170.91337OpenAlexW2112858361MaRDI QIDQ2270562

Mikhail Anufriev, Valentyn Panchenko

Publication date: 28 July 2009

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

Full work available at URL: http://dare.uva.nl/personal/pure/en/publications/asset-prices-traders-behavior-and-market-design(d2e34f27-6212-4f16-962b-a979337fa49f).html

zbMATH Keywords

learningheterogeneous beliefsasset pricing modelmarket architecturetrading protocols

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (12)

Hierarchical information and the rate of information diffusion ⋮ The impact of a financial transaction tax on stylized facts of price returns -- evidence from the lab ⋮ A behavioural model of investor sentiment in limit order markets ⋮ A laboratory experiment on the heuristic switching model ⋮ The heterogeneous expectations hypothesis: Some evidence from the lab ⋮ Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends ⋮ The impact of short-selling constraints on financial market stability in a heterogeneous agents model ⋮ Heterogeneous fundamentalists and market maker inventories ⋮ Strategy switching in the Japanese stock market ⋮ Asset price dynamics with heterogeneous beliefs and local network interactions ⋮ Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders ⋮ Heterogeneous beliefs in over-the-counter markets

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