Estimation of an adaptive stock market model with heterogeneous agents

Journal of Empirical Finance

Volumn 15, Issue 2, 2008, Pages 342-362

  Amilon, Henrik ^a  

^a Sparinvest A/S ^*  (Denmark)

Author keywords

Adaptive beliefs; Bounded rationality; Efficient method of moments; Evolutionary dynamics; Heterogeneous expectations

Indexed keywords

EID: 38849163743     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2006.06.007     Document Type: Article

References (69)

1. Alfarano S., Lux T., and Wagener F. Estimation of agent-based models: the case of an asymmetric herding model. Computational Economics 26 (2005) 19-49
2. Andersen T., and Lund J. Estimating continuous-time stochastic volatility models of the short-term interest rate. Journal of Econometrics (1997) 343-377
3. Anderson S., de Palma A., and Thisse J. Discrete Choice Theory of Product Differentiation (1993), MIT Press, Cambridge
4. Arthur W., Holland J., LeBaron B., Palmer R., and Taylor P. Asset pricing under endogenous expectations in an artificial stock market. In: Arthur W., Lane D., and Durlauf S. (Eds). The Economy as an Evolving Complex System vol. II (1997), Addison-Wesley, Reading
5. Baak S. Test for bounded rationality with a linear dynamic model distorted by heterogeneous expectations. Journal of Economic Dynamics and Control 23 (1999) 1517-1543
6. Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31 (1986) 307-327
7. Bollerslev T. A conditional heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics 69 (1987) 542-547
8. Bollerslev T., and Wooldridge J. Quasi-maximum likelihood estimation of dynamic models with time varying covariances. Econometric Reviews 11 (1992) 143-172
9. Bollerslev T., Engle R., and Nelson D. Arch models. In: Engle R., and McFadden D. (Eds). Hand-book of Econometrics vol. 4 (1994), Elsevier, Amsterdam 2959-3038
10. Boswijk H., Hommes C., and Manzan S. Behavioral heterogeneity in stock prices. CeNDEF Working Paper vol. 05-12 (2005), University of Amsterdam
11. Brock W., and Hommes C. A rational route to randomness. Econometrica 65 (1997) 1059-1095
12. Brock W., and Hommes C. Models of complexity in economics and finance. In: Hey C., et al. (Ed). System Dynamics and Financial Models (1997), Wiley 3-41
13. Brock W., and Hommes C. Heterogeneous beliefs and bifurcation routes to chaos in a simple asset pricing model. Journal of Economic Dynamics and Control 22 (1998) 1235-1274
14. Brock W., Lakonishok J., and LeBaron B. Simple technical trading rules and the stochastic properties of stock returns. Journal of Finance 47 (1992) 1731-1764
15. Brock W., Hommes C., and Wagener F. Evolutionary dynamics in financial markets with many trader types. Journal of Mathematical Economics 41 (2005) 7-42
16. Chavas J. On information and market dynamics: the case of the U.S. beef market. Journal of Economic Dynamics and Control 24 (2000) 833-853
17. Chen S.-H., Lux T., and Marchesi M. Testing for non-linear structure in an artificial financial market. Journal of Economic Behavior and Organization 46 (2001) 327-342
18. Chiarella C., and He X. An adaptive model on asset pricing and wealth dynamics with heterogeneous trading strategies. Quantitative Finance Research Group Research Paper vol. 84 (2002), University of Technology, Sydney
19. Chiarella C., and He X. Heterogeneous beliefs, risk and learning in a simple asset pricing model. Computational Economics 19 (2002) 95-132
20. Chiarella C., and He X. Dynamics of beliefs and learning under aL-process - the heterogeneous case. Journal of Economic Dynamics and Control 27 (2003) 503-531
21. Dacorogna M., Müller U., Olsen R., and Pictet O. Modelling short term volatility with GARCH and HARCH models. In: Dunis C., and Zhou B. (Eds). Nonlinear Modelling of High Frequency Financial Time Series (1998), Wiley
22. De Grauwe P., and Grimaldi M. Bubbling and crashing exchange rates. CESifo Working Paper Series (2003) 1045
23. De Grauwe P., and Grimaldi M. Exchange rate puzzles: a tale of switching attractors. European Economic Review 50 (2006) 1-33
24. De Long J., Shleifer A., Summers L., and Waldmann R. Noise traders risk in financial markets. Journal of Political Economy 98 (1990) 703-738
25. Duffie D., and Singleton K. Simulated moments estimations of Markov models of asset prices. Econometrica 61 (1993) 929-952
26. Engle R. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50 (1982) 987-1007
27. Engle R., and Lee G. Estimating diffusion models of stochastic volatility. In: Rossi P. (Ed). Modelling Stock Market Volatility: Bridging the Gap to Continuous Time (1994), Academic Press, San Diego
28. Evans G., and Honkapohja S. Learning and Expectations in Macroeconomics (2001), Princeton University Press
29. Fama E. Efficient capital markets: a review of theory and empirical work. Journal of Finance 25 (1970) 383-417
30. Frankel J., and Froot K. Chartists, fundamentalists, and trading in the foreign exchange market. American Economic Review 80 (1990) 181-186
31. Gallant R., and Nychka D. Semi-nonparametric maximum likelihood estimation. Econometrica 55 (1987) 363-390
32. Gallant R., and Tauchen G. Which moments to match?. Econometric Theory 12 (1996) 657-681
33. Gaunersdorfer A. Endogenous fluctuations in a simple asset pricing model with heterogeneous agents. Journal of Economic Dynamics and Control 24 (2000) 799-831
34. Gaunersdorfer A. Adaptive beliefs and the volatility of asset prices. Central European Journal of Operations Research (2001) 5-30
35. Gaunersdorfer A., and Hommes C. A nonlinear structural model for volatility clustering. CeNDEF Working Paper (2000), University of Amsterdam 00-02
36. Gaunersdorfer A., Hommes C., and Wagener F. Bifurcation routes to volatility clustering. CeNDEF Working Paper (2000), University of Amsterdam 00-04
37. Gilli M., and Winker P. A global optimization heuristic for estimating agent-based models. Computational Statistics & Data Analysis 42 (2003) 299-312
38. Goffe W., Ferrier G., and Rogers J. Global optimization of statistical functions with simulated annealing. Journal of Econometrics 60 (1994) 65-99
39. Gourieroux C., Monfort A., and Renault E. Indirect inference. Journal of Applied Econometrics 8 (1993) 85-119
40. Granger C., and Swanson N. An introduction to stochastic unit root processes. Journal of Econometrics 80 (1997) 35-61
41. Hamilton J. Time Series Models (1994), Princeton University Press
42. Hansen L. Large sample properties of generalized method of moments estimators. Econometrica 50 (1982) 1029-1054
43. Hommes C. Financial markets as nonlinear adaptive evolutionary systems. Quantitative Finance 1 (2001) 149-167
44. Hommes C. Modeling the stylized facts in finance through simple nonlinear adaptive systems. Proceedings of the National Academy of Sciences 99 (2002) 7221-7228
45. Hommes C. Heterogeneous agent models in economics and finance. In: Tesfatsion L., and Judd K. (Eds). Handbook of Computational Economics, vol. 2: Agent-Based Computational Economics (2006), Elsevier/North Holland, Amsterdam 1109-1186
46. Jegadeesh N., and Titman S. Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance 56 (2001) 699-720
47. Kirman A. Epidemics of opinion and speculative bubbles in financial markets. In: Taylor M. (Ed). Money and Financial Markets (1991), Macmillan, New York
48. LeBaron B. Evolution and time horizons in an agent based stock market. Macroeconomic Dynamics 5 (2001) 225-254
49. LeBaron B. Empirical regularities from interacting long and short horizon investors in an agent-based stock market. IEEE Transactions on Evolutionary Computation 5 (2001) 442-455
50. LeBaron B. Agent-based computational finance. In: Tesfatsion L., and Judd K. (Eds). Hand-book of Computational Economics, vol. 2: Agent-based Computational Economics (2006), Elsevier/North Holland, Amsterdam 1187-1233
51. LeBaron B., Arthur W., and Palmer R. Time series properties of an artificial stock market. Journal of Economic Dynamics and Control 23 (1999) 1487-1516
52. Lux T. Herd behavior, bubbles and crashes. Economic Journal 105 (1995) 881-896
53. Lux T., and Marchesi M. Volatility clustering in financial markets: a microsimulation of interacting agents. International Journal of Theoretical and Applied Finance 3 (2000) 675-702
54. Manski C., and McFadden D. Structural Analysis of Discrete Data with Econometric Applications (1981), MIT Press, Cambridge
55. Manzan, S., 2003. Essays in nonlinear economic dynamics. PhD thesis Tinbergen Institute Research Series; 317; University of Amsterdam.
56. Müller U., Dacorogna M., Dave R., Olsen R., Pictet O., and von Weizsäcker J. Volatility of different time resolutions - analyzing the dynamics of market components. Journal of Empirical Finance 4 (1997) 213-239
57. Muth J. Rational expectations and the theory of price movements. Econometrica 29 (1961) 315-335
58. Pagan A. The econometrics of financial markets. Journal of Empirical Finance 3 (1996) 15-102
59. Pagan A., and Schwert G. Alternative models for conditional stock volatility. Journal of Econometrics 45 (1990) 267-290
60. Press W., Flannery B., Teukolsky S., and Vetterling W. Numerical Recipes in C: The Art of Scientific Computing (1992), Cambridge University Press, New York
61. Routledge B. Adaptive learning in financial markets. Review of Financial Studies 12 (1999) 1165-1202
62. Sargent T. Bounded Rationality in Macroeconomics (1993), Clarendon Press, Oxford
63. Shefrin H. Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing (2000), Harvard Business School Press, Boston
64. Teräsvirta T. Smooth transition regression modelling. In: Lutkepohl H., and Krätzig K. (Eds). Applied Time Series Econometrics (2004), Cambridge University Press, Cambridge
65. Vigfusson R. Switching between chartists and fundamentals: a Markov regime-switching approach. International Journal of Finance and Economics 2 (1997) 291-305
66. Wang K.-L., Fawson C., Barrett C., and McDonald J. A flexible parametric GARCH model with an application to exchanges rates. Journal of Applied Econometrics 16 (2001) 521-536
67. Westerhoff F., and Reitz S. Nonlinearities and cyclical behavior: the role of chartists and fundamentalists. Studies in Nonlinear Dynamics and Econometrics 7 4 (2003) (article no. 3)
68. Winker P., and Gilli M. Indirect estimation of the parameters of agent based models of financial markets. FAME Research Paper vol. 38 (2001), University of Geneva
69. Yoon, G., 2003. A simple model that generates stylized facts of returns. Pusan National University, Korea, UCSD Working Paper. San Diego, CA.