A behavioral asset pricing model with a time-varying second moment
From MaRDI portal
Publication:943159
DOI10.1016/j.chaos.2005.08.068zbMath1142.91653OpenAlexW2571089550MaRDI QIDQ943159
Duo Wang, Xue-Zhong He, Carl Chiarella
Publication date: 9 September 2008
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/3406
Related Items (7)
Heterogeneous expectations, boom-bust housing cycles, and supply conditions: a nonlinear economic dynamics approach ⋮ Dynamic effects of increasing heterogeneity in financial markets ⋮ Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends ⋮ A simple finite-difference stock market model involving intrinsic value ⋮ A financial CCAPM and economic inequalities ⋮ Power-law behaviour, heterogeneity, and trend chasing ⋮ BIFURCATION AND CHAOS ANALYSIS IN A DISCRETE-DELAY DYNAMIC MODEL FOR A STOCK MARKET
Cites Work
- The dynamics of speculative behaviour
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Using genetic algorithms to model the evolution of heterogeneous beliefs
- Time variation of second moments from a noise trader/infection model
- Toward a computable approach to the efficient market hypothesis: An application of genetic programming
- Heterogeneous beliefs, risk and learning in a simple asset pricing model
- Time series properties of an artificial stock market
- Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
- A Rational Route to Randomness
- HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
- Financial markets as nonlinear adaptive evolutionary systems
- Asset price and wealth dynamics under heterogeneous expectations
- Elements of applied bifurcation theory
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: A behavioral asset pricing model with a time-varying second moment