메뉴 건너뛰기




Volumn 550, Issue , 2005, Pages 269-285

An asset pricing model with adaptive heterogeneous agents and wealth effects

Author keywords

[No Author keywords available]

Indexed keywords


EID: 53349157237     PISSN: 00758442     EISSN: None     Source Type: Book Series    
DOI: 10.1007/3-540-27296-8_18     Document Type: Conference Paper
Times cited : (5)

References (28)
  • 2
    • 0001288049 scopus 로고    scopus 로고
    • A rational route to randomness
    • Brock W and Hommes C (1997) A rational route to randomness. Econometrica 65:1059-1095
    • (1997) Econometrica , vol.65 , pp. 1059-1095
    • Brock, W.1    Hommes, C.2
  • 3
    • 0000921080 scopus 로고    scopus 로고
    • Heterogeneous beliefs and routes to chaos in a simple asset pricing model
    • Brock, W and Hommes C (1998) Heterogeneous beliefs and routes to chaos in a simple asset pricing model. Journal of Economic Dynamics and Control 22:1235-1274
    • (1998) Journal of Economic Dynamics and Control , vol.22 , pp. 1235-1274
    • Brock, W.1    Hommes, C.2
  • 4
    • 0011031728 scopus 로고    scopus 로고
    • Using Genetic Algorithms to Model the Evolution of Heterogeneous Beliefs
    • Bullard J and Duffy J (1999) Using Genetic Algorithms to Model the Evolution of Heterogeneous Beliefs. Computational Economics 13:41-60
    • (1999) Computational Economics , vol.13 , pp. 41-60
    • Bullard, J.1    Duffy, J.2
  • 5
    • 0001380566 scopus 로고
    • The dynamics of speculative behaviour
    • Chiarella C (1992) The dynamics of speculative behaviour. Annals of Operations Research 37:101-123
    • (1992) Annals of Operations Research , vol.37 , pp. 101-123
    • Chiarella, C.1
  • 6
    • 85008776505 scopus 로고    scopus 로고
    • Asset pricing and wealth dynamics under heterogeneous expectations
    • Chiarella C and He X (2001) Asset pricing and wealth dynamics under heterogeneous expectations. Quantitative Finance 1:509-526
    • (2001) Quantitative Finance , vol.1 , pp. 509-526
    • Chiarella, C.1    He, X.2
  • 8
    • 84867947516 scopus 로고    scopus 로고
    • Heterogeneous beliefs, risk and learning in a simple asset pricing model
    • Chiarella C and He X (2002b) Heterogeneous beliefs, risk and learning in a simple asset pricing model. Computational Economics 19:95-132
    • (2002) Computational Economics , vol.19 , pp. 95-132
    • Chiarella, C.1    He, X.2
  • 10
    • 0141859796 scopus 로고    scopus 로고
    • Heterogeneous beliefs, risk and learning in a simple asset pricing model with a market maker
    • Chiarella C and He X (2003) Heterogeneous beliefs, risk and learning in a simple asset pricing model with a market maker. Macroeconomic Dynamics 7:503-536.
    • (2003) Macroeconomic Dynamics , vol.7 , pp. 503-536
    • Chiarella, C.1    He, X.2
  • 12
    • 0346613557 scopus 로고    scopus 로고
    • Physicists attempt to scale the ivory towers of finance
    • Farmer J (1999) Physicists attempt to scale the ivory towers of finance. Computing in Science and Engineering 1:26-39
    • (1999) Computing in Science and Engineering , vol.1 , pp. 26-39
    • Farmer, J.1
  • 14
    • 0345774057 scopus 로고    scopus 로고
    • Two destabilizing strategies may be jointly stabilizing
    • Franke R and Nesemann T (1999) Two destabilizing strategies may be jointly stabilizing. Journal of Economics 69:1-18
    • (1999) Journal of Economics , vol.69 , pp. 1-18
    • Franke, R.1    Nesemann, T.2
  • 15
    • 0000131597 scopus 로고
    • Using survey data to test propositions regarding exchange rate expectations
    • Frankel F and Froot K (1987) Using survey data to test propositions regarding exchange rate expectations. American Economic Review 77:133-153
    • (1987) American Economic Review , vol.77 , pp. 133-153
    • Frankel, F.1    Froot, K.2
  • 16
    • 0001753311 scopus 로고    scopus 로고
    • Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
    • Gaunersdorfer A (2000) Endogenous fluctuations in a simple asset pricing model with heterogeneous agents. Journal of Economic Dynamics and Control 24:799-831
    • (2000) Journal of Economic Dynamics and Control , vol.24 , pp. 799-831
    • Gaunersdorfer, A.1
  • 17
    • 53349127001 scopus 로고    scopus 로고
    • Gaunersdorfer A and Hommes C (2000) A nonlinear structural model for volatility clustering. CeNDF, University of Amsterdam. Working Paper 00-02
    • Gaunersdorfer A and Hommes C (2000) A nonlinear structural model for volatility clustering. CeNDF, University of Amsterdam. Working Paper 00-02
  • 18
    • 84884450248 scopus 로고    scopus 로고
    • Financial markets as nonlinear adaptive evolutionary systems
    • Hommes C (2001) Financial markets as nonlinear adaptive evolutionary systems. Quantitative Finance 1:149-167
    • (2001) Quantitative Finance , vol.1 , pp. 149-167
    • Hommes, C.1
  • 19
    • 0000444193 scopus 로고    scopus 로고
    • Agent based computational finance: Suggested readings and early research
    • LeBaron B (2000) Agent based computational finance: suggested readings and early research. Journal of Economic Dynamics and Control 24:679-702
    • (2000) Journal of Economic Dynamics and Control , vol.24 , pp. 679-702
    • LeBaron, B.1
  • 20
    • 0011020475 scopus 로고    scopus 로고
    • The danger of assuming homogeneous expectations
    • Levy M and Levy H (1996) The danger of assuming homogeneous expectations. Financial Analysts Journal 52(3):65-70
    • (1996) Financial Analysts Journal , vol.52 , Issue.3 , pp. 65-70
    • Levy, M.1    Levy, H.2
  • 21
    • 43949149356 scopus 로고
    • A microscopic model of the stock market
    • Levy M and Levy H and Solomon S (1994) A microscopic model of the stock market. Economics Letters 45:103-111
    • (1994) Economics Letters , vol.45 , pp. 103-111
    • Levy, M.1    Levy, H.2    Solomon, S.3
  • 23
    • 0000015564 scopus 로고
    • Herd behaviour, bubbles and crashes
    • Lux T (1995) Herd behaviour, bubbles and crashes. Economic Journal 105:881-896
    • (1995) Economic Journal , vol.105 , pp. 881-896
    • Lux, T.1
  • 24
    • 0031280697 scopus 로고    scopus 로고
    • Time variation of second moments from a noise trader/infection model
    • Lux T (1997) Time variation of second moments from a noise trader/infection model. Journal of Economic Dynamics and Control 22:1-38
    • (1997) Journal of Economic Dynamics and Control , vol.22 , pp. 1-38
    • Lux, T.1
  • 25
    • 0031617088 scopus 로고    scopus 로고
    • The socio-economic dynamics of speculative markets: Interacting agents, chaos, and the fat tails of return distributions
    • Lux T (1998) The socio-economic dynamics of speculative markets: Interacting agents, chaos, and the fat tails of return distributions. Journal of Economic Behavior and Organization 33:143-165
    • (1998) Journal of Economic Behavior and Organization , vol.33 , pp. 143-165
    • Lux, T.1
  • 26
    • 0033545290 scopus 로고    scopus 로고
    • Scaling and criticality in a stochastic multi-agent model of a financial markets
    • Lux T and Marchesi M (1999) Scaling and criticality in a stochastic multi-agent model of a financial markets. Nature 397(11):498-500
    • (1999) Nature , vol.397 , Issue.11 , pp. 498-500
    • Lux, T.1    Marchesi, M.2
  • 28
    • 0035280665 scopus 로고    scopus 로고
    • Some new results on the Levy, Levy and Solomon microscopic stock market model
    • Zschischang E and Lux T (2001) Some new results on the Levy, Levy and Solomon microscopic stock market model. Physica A 291:563-573
    • (2001) Physica A , vol.291 , pp. 563-573
    • Zschischang, E.1    Lux, T.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.