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Asset price dynamic with heterogeneous agents



    () (Economix Paris Ouest Nanterre La Défense)


We estimate in this paper a non probabilistic Markovien model of stocks prices with an evolutionary selection of heterogeneous strategies. We chose to proceed by estimation relating on 27 companies from the CAC 40 and the composite index corresponding to these 27 companies to avoid the risk of an average effect on adding these stocks. In addition, the strategy adopted by an investor can depend on his investment horizon and to verify this assumption we chose daily, monthly and quarterly data.

Suggested Citation

  • Rania Guirat, 2011. "Asset price dynamic with heterogeneous agents," Economics Bulletin, AccessEcon, vol. 31(2), pages 1-18.
  • Handle: RePEc:ebl:ecbull:eb-11-00212

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    heterogeneous expectations; bounded rationality; behavioural finance; evolutionary selection; stock market; nonlinearities; chartists and fundamentalists;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General


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