Excess covariance and dynamic instability in a multi-asset model

DOI10.1016/j.jedc.2012.03.015zbMath1345.91066OpenAlexW2145767567MaRDI QIDQ310954

Giulio Bottazzi, Mikhail Anufriev, Paolo Pin, Matteo Marsili

Publication date: 28 September 2016

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

Full work available at URL: http://hdl.handle.net/11382/354423

zbMATH Keywords

heterogeneous agentscapital asset pricing modelefficient market hypothesisexcess covarianceprocedurally consistent equilibrium

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (6)

Asset prices and wealth dynamics in a financial market with random demand shocks ⋮ Empirical properties of a heterogeneous agent model in large dimensions ⋮ Procedural rationality, asset heterogeneity and market selection ⋮ Some reflections on past and future of nonlinear dynamics in economics and finance ⋮ Quantifying Interactions in Nonlinear Feedback Dynamics: A Time Series Analysis ⋮ Speculative behavior and the dynamics of interacting stock markets

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