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Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets

Heterogeneity and interacting among boundedly rational agents have received an increasing attention in the finance and economics literature. Recent developments on the role of heterogeneous beliefs on asset pricing and the adaptive behaviour of financial markets shed light into the complex behaviour of financial markets and provides some explanations of certain market behaviour and anomalies. This paper surveys these developments, of which the author and several coauthors have contributed in several papers, and discusses the extent to which they can address market anomalies, complexity, and stylized facts in financial markets.

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File URL: http://www.qfrc.uts.edu.au/research/research_papers/rp316.pdf
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Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 316.

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Length: 40
Date of creation: 01 Oct 2012
Date of revision:
Handle: RePEc:uts:rpaper:316
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  1. Tony Berrada, 2009. "Bounded Rationality and Asset Pricing with Intermediate Consumption," Review of Finance, European Finance Association, vol. 13(4), pages 693-725.
  2. Mikhail Anufriev & Pietro Dindo, 2007. "Wealth-driven Selection in a Financial Market with Heterogeneous Agents," LEM Papers Series 2007/27, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  4. Farmer, J. Doyne & Joshi, Shareen, 2002. "The price dynamics of common trading strategies," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 149-171, October.
  5. Day, Richard H. & Huang, Weihong, 1990. "Bulls, bears and market sheep," Journal of Economic Behavior & Organization, Elsevier, vol. 14(3), pages 299-329, December.
  6. Ely�s Jouini & Clotilde Napp, 2007. "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1149-1174.
  7. Elyès Jouini & Clotilde Napp, 2010. "Unbiased Disagreement in financial markets, waves of pessimism and the risk return tradeoff," Post-Print halshs-00488481, HAL.
  8. Jouini, Elyès & Napp, Clotilde, 2006. "Heterogeneous Beliefs and Asset Pricing in Discrete Time : an Analysis of Pessimism and Doubt," Economics Papers from University Paris Dauphine 123456789/341, Paris Dauphine University.
  9. Jouini, Elyes & Napp, Clotilde, 2006. "Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt," Journal of Economic Dynamics and Control, Elsevier, vol. 30(7), pages 1233-1260, July.
  10. H. Henry Cao & Hui Ou-Yang, 2009. "Differences of Opinion of Public Information and Speculative Trading in Stocks and Options," Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 299-335, January.
  11. Yoshida, Hiroyuki & Asada, Toichiro, 2007. "Dynamic analysis of policy lag in a Keynes-Goodwin model: Stability, instability, cycles and chaos," Journal of Economic Behavior & Organization, Elsevier, vol. 62(3), pages 441-469, March.
  12. Jouini, Elyès & Napp, Clotilde, 2007. "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," Economics Papers from University Paris Dauphine 123456789/78, Paris Dauphine University.
  13. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Society for Computational Economics, vol. 26(1), pages 19-49, August.
  14. Xue-Zhong He & Min Zheng, 2010. "Dynamics of Moving Average Rules in a Continuous-time Financial Market Model," Research Paper Series 268, Quantitative Finance Research Centre, University of Technology, Sydney.
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