Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model

Computational Economics

Volumn 19, Issue 1, 2002, Pages 95-132

  Chiarella, Carl ^a   He, Xue Zhong ^a  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

asset pricing; bifurcation; heterogeneous beliefs; risk

Indexed keywords

EID: 84867947516     PISSN: 09277099     EISSN: 15729974     Source Type: Journal    
DOI: 10.1023/A:1014957310778     Document Type: Article

References (30)

1. Anderson, S., de Palma, A. and Thisse, J. (1993). Discrete Choice Theory of Product Differentiation. MIT Press.
2. Arnold, L. (1998), Random Dynamical Systems. Springer-Verlag.
3. Beja, A. and Goldman, M. B. (1980). On the dynamic behavior of prices in disequilibrium. Journal of Finance, 35, 235-247.
4. Black, F. (1986). Noise. Journal of Finance, 41, 529-543.
5. Brock, W. and Hommes, C. (1977). Models of complexity in economics and finance. In C. Heij, J. M. Schumacher, B. Hanzon, C. Praagman (eds), Systems Dynamics in Economic and Finance Models. Wiley, NY, Ch. 1, pp. 3-44.
6. Brock, W. and Hommes, C. (1997). A rational route to randomness. Econometrica, 65, 1059-1095.
7. 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.
8. Campbell, J. and Kyle, A. (1993). Smart money, noise trading and stock price behaviour. Review of Economic Studies, 60, 1-34.
9. Shu-Heng Chen and Chia-Hsuan Yeh (1997). Toward a computable approach to the efficient market hypothesis: An application of genetic programming. Journal of Economic Dynamics and Control, 21, 1043-1063.
10. Shu-Heng Chen and Chia-Hsuan (1999). Genetic programming in agent-based artificial markets: Simulations and analysis. Technical Report. National Chengchi University.
11. Chiarella, C. (1992). The dynamics of speculative behaviour. Annals of Operations Research, 37, 101-123.
12. Chiarella, C. and He, X.-Z. (2001). The interactions of wealth dynamics, learning and heterogeneity in a simple asset pricing model. Working Paper No. 56. School of Finance and Economics, University of Technology, Sydney.
13. Day, R. and Huang, W. (1990). Bulls, bears and market sheep. Journal of Economic Behavior and Organization, 14, 299-329.
14. DeLong, J. B., Shleifer, A., Summers, L. H. and Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98, 703-738.
15. Elaydi S. (1996). An Introduction to Difference Equations. Springer, New York.
16. Fama, E. F. and French, K. R. (1988). Permanent and transitory components of stock prices. Journal of Political Economy, 98, 246-273.
17. Franke, R. and Nesemann, T. (1999). Two destabilizing strategies may be jointly stabilizing. Journal of Economics, 69, 1-18.
18. Franke, R. and Sethi, R. (1998). Cautious trend-seeking and complex asset price dynamics. Research in Economics, 52, 61-79.
19. Iori, G. (1999). A microsimulation of traders activity in the stock market: The role of heterogeneity, agents' interactions and trade frictions. Int. J. of Modern Physics C, forthcoming.
20. Gaunersdorfer, A. (1999). Endogenous fluctuations in a simple asset pricing model with heterogeneous agents. Journal of Economic Dynamics and Control, forthcoming.
21. Grossman, S. (1989). The Informational Role of Prices. MIT Press, Cambridge.
22. Lux, T. (1995). Herd behaviour, bubbles and crashes. Economic Journal, 105, 881-896.
23. Lux, T. (1997). Time variation of second moments from a noise trader/infection model. Journal of Economic Dynamics and Control, 22, 1-38.
24. 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.
25. Lux, T. and Marchesi, M. (1999). Scaling and criticality in a stochastic multi-agent model of a financial market. Nature, 397(11), 498-500.
26. Manski, C. and McFadden, D. (1981). Structural Analysis of Discrete Data with Econometric Applications. MITT Press.
27. Miller, E. M. (1977). Risk, uncertainty, and divergence of opinion. Journal of Finance, 32, 1151-1168.
28. Poterba, J. M. and Summers, L. H. (1988). Mean reversion in stock prices: Evidence and implications. Journal of Financial Economics, 22, 27-60.
29. Sethi, R. (1996). Endogenous regime switching in speculative markets. Structural Change and Economic Dynamics, 7, 99-118.
30. Summers, L. H. (1986). Does the stock market rationally reflect fundamental values. Journal of Finance, 41, 591-601.