Wealth-driven competition in a speculative financial market: Examples with maximizing agents

Quantitative Finance

Volumn 8, Issue 4, 2008, Pages 363-380

  Anufriev, Mikhail ^a  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Asset pricing model; CRRA framework; Equilibrium market curve; Expected utility maximization; Linear investment functions; Mean variance optimization

Indexed keywords

EID: 45849120647     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680701494534     Document Type: Review

References (20)

1. Anufriev, M. and Bottazzi, G., Price and wealth dynamics in a speculative market with generic procedurally rational traders. CeNDEF Working Paper 06-02, University of Amsterdam, 2006. Available online at: http://www1.fee.uva.nl/ cendef/publications/papers/generic.pdf
2. Anufriev, M., Bottazzi, G. and Pancotto, F., Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders. J. Econ. Dynam. Control, 2006, 30, 1787-1835.
3. Brock, W. and Hommes, C., Heterogeneous beliefs and routes to chaos in a simple asset pricing model. J. Econ. Dynam. Control, 1998, 22, 1235-1274.
4. Brock, W., Hommes, C. and Wagener, F., Evolutionary dynamics in markets with many trader types. J. Math. Econ, 2005, 41, 7-42.
5. Campbell, J. and Viceira, L., Strategic Asset Allocation: Portfolio Choice for Long-term Investors, 2002 (Oxford University Press: Oxford).
6. Chiarella, C., The dynamics of speculative behaviour. Ann. oper. Res, 1992, 37, 101-123.
7. Chiarella, C., Dieci, R. and Gardini, L., Asset price and wealth dynamics in a financial market with heterogeneous agents. J. Econ. Dynam. Control, 2006, 30, 1755-1786.
8. Chiarella, C. and He, X., Asset price and wealth dynamics under heterogeneous expectations. Quant. Finan, 2001, 1, 509-526.
9. Chiarella, C. and He, X., An adaptive model on asset pricing and wealth dynamics with heterogeneous trading strategies. Research Paper Series 84, Quantitative Finance Research Centre, University of Technology, Sydney, 2002. Available online at: http://www.business.uts.edu.au/qfrc/research/ research_papers/rp84.pdf
10. Day, R. and Huang, W., Bulls, bears and market sheep. J. Econ. Behav. Org, 1990, 14, 299-329.
11. DeLong, J., Shleifer, A., Summers, L. and Waldmann, R., The survival of noise traders in financial markets. J. Bus, 1991, 64, 1-19.
12. Franke, R. and Sethi, R., Cautious trend-seeking and complex asset price Dynamics. Res. Econ, 1998, 52, 61-79.
13. Hommes, C., Heterogeneous agent models in economics and finance, In Handbook of Computational Economics, Vol. 2: Agent-based Computational Economics, edited by K. Judd and L. Tesfatsion, 2006 (North-Holland: Amsterdam).
14. Kahneman, D. and Tversky, A., Prospect theory: an analysis of decision under risk. Econometrica, 1979, 47, 263-292.
15. Kroll, Y., Levy, H. and Rapoport, A., Experimental tests of the mean-variance model for portfolio selection. Org. Behav. Hum. Decis. Process, 1988, 42, 388-410.
16. LeBaron, B., Arthur, W. and Palmer, R., Time series properties of an artificial stock market. J. Econ. Dynam. Control, 1999, 23, 1487-1516.
17. Levy, M., Levy, H. and Solomon, S., Microscopic Simulation of Financial Markets, 2000 (Academic Press: London).
18. Levy, M., Persky, N. and Solomon, S., The complex dynamics of a simple stock market model. Int. J. High Speed Comput, 1996, 8, 93-119.
19. Lux, T., Herd behaviour, bubbles and crashes. Econ. J, 1995, 105, 881-896.
20. Zschischang, E. and Lux, T., Some new results on the Levy, Levy and Solomon microscopic stock market model. Physica A, 2001, 291, 563-573.