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Equilibria in financial markets with heterogeneous agents: a probabilistic perspective

  • Follmer, Hans
  • Horst, Ulrich
  • Kirman, Alan

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File URL: http://www.sciencedirect.com/science/article/B6VBY-4F83PM1-1/2/f7086d291268129cb04fcf6278a4d82d
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Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 41 (2005)
Issue (Month): 1-2 (February)
Pages: 123-155

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Handle: RePEc:eee:mateco:v:41:y:2005:i:1-2:p:123-155
Contact details of provider: Web page: http://www.elsevier.com/locate/jmateco

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  1. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, . "Noise Trader Risk in Financial Markets," J. Bradford De Long's Working Papers _124, University of California at Berkeley, Economics Department.
  2. KIRMAN, Alan & TEYSSIÈRE, Gilles, 2002. "Microeconomic models for long-memory in the volatility of financial time series," CORE Discussion Papers 2002056, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Kurz, Mordecai, 1994. "On Rational Belief Equilibria," Economic Theory, Springer, vol. 4(6), pages 859-76, October.
  4. Jeffrey A. Frankel & Andrew K. Rose, 1994. "A Survey of Empirical Research on Nominal Exchange Rates," NBER Working Papers 4865, National Bureau of Economic Research, Inc.
  5. Philippe Bacchetta & Eric Van Wincoop, 2006. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," American Economic Review, American Economic Association, vol. 96(3), pages 552-576, June.
  6. De Long, J Bradford, et al, 1989. " The Size and Incidence of the Losses from Noise Trading," Journal of Finance, American Finance Association, vol. 44(3), pages 681-96, July.
  7. Garman, Mark B., 1976. "Market microstructure," Journal of Financial Economics, Elsevier, vol. 3(3), pages 257-275, June.
  8. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2002. "Evolutionary dynamics in markets with many trader types," CeNDEF Working Papers 02-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  9. Cass, David & Shell, Karl, 1983. "Do Sunspots Matter?," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 193-227, April.
  10. Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia-Pascual, 2005. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Working Papers 122005, Hong Kong Institute for Monetary Research.
  11. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  12. Frankel, Jeffrey A. & Rose, Andrew K., 1995. "Empirical research on nominal exchange rates," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 33, pages 1689-1729 Elsevier.
  13. Hans Föllmer & Martin Schweizer, 1993. "A Microeconomic Approach to Diffusion Models For Stock Prices," Mathematical Finance, Wiley Blackwell, vol. 3(1), pages 1-23.
  14. Brock,W.A. & Durlauf,S.N., 2000. "Discrete choice with social interactions," Working papers 7, Wisconsin Madison - Social Systems.
  15. Chionis, Dionysios & MacDonald, Ronald, 2002. "Aggregate and disaggregate measures of the foreign exchange risk premium," International Review of Economics & Finance, Elsevier, vol. 11(1), pages 57-84, April.
  16. Woodford, Michael, 1990. "Learning to Believe in Sunspots," Econometrica, Econometric Society, vol. 58(2), pages 277-307, March.
  17. Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-96, July.
  18. Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2003. "Evolutionary Stability of Portfolio Rules in Incomplete Markets," Discussion Papers 03-03, University of Copenhagen. Department of Economics.
  19. Lorenzo Giorgianni & Leonardo Bartolini, 1999. "Excess Volatility and the Asset-Pricing Exchange Rate Model with Unobservable Fundamentals," IMF Working Papers 99/71, International Monetary Fund.
  20. repec:att:wimass:9530 is not listed on IDEAS
  21. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-30, September.
  22. Brock, W.A. & Hommes, C.H., 1996. "A Rational Route to Randomness," Working papers 9530r, Wisconsin Madison - Social Systems.
  23. Townsend, Robert M, 1983. "Forecasting the Forecasts of Others," Journal of Political Economy, University of Chicago Press, vol. 91(4), pages 546-88, August.
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