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Asset Pricing Under Endogenous Expectations in an Artificial Stock Market

Citations

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Cited by:

  1. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment," Research Paper Series 142, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Norman Ehrentreich, 2002. "The Santa Fe Artificial Stock Market Re-Examined - Suggested Corrections," Computational Economics 0209001, University Library of Munich, Germany.
  3. Stefan Thurner & J. Doyne Farmer & John Geanakoplos, 2012. "Leverage causes fat tails and clustered volatility," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 695-707, February.
  4. Samuel N. Cohen & Derek Snow & Lukasz Szpruch, 2021. "Black-box model risk in finance," Papers 2102.04757, arXiv.org.
  5. Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447, arXiv.org, revised Jan 2015.
  6. Efstathios Panayi & Gareth W. Peters, 2015. "Stochastic simulation framework for the limit order book using liquidity-motivated agents," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-52.
  7. Roberto Savona & Maxence Soumare & Jørgen Vitting Andersen, 2015. "Financial Symmetry and Moods in the Market," PLOS ONE, Public Library of Science, vol. 10(4), pages 1-21, April.
  8. Zijian Shi & John Cartlidge, 2021. "The Limit Order Book Recreation Model (LOBRM): An Extended Analysis," Papers 2107.00534, arXiv.org.
  9. Branch, William A., 2002. "Local convergence properties of a cobweb model with rationally heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 27(1), pages 63-85, November.
  10. Chia-Hsuan Yeh, 2007. "The role of intelligence in time series properties," Computational Economics, Springer;Society for Computational Economics, vol. 30(2), pages 95-123, September.
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  13. Pierre-André Maugis, 2010. "Market Efficiencies and Market Risks," Post-Print halshs-00544324, HAL.
  14. Leigh Tesfatsion, 2002. "Agent-Based Computational Economics," Computational Economics 0203001, University Library of Munich, Germany, revised 15 Aug 2002.
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  19. Mikhail Goykhman, 2017. "Wealth dynamics in a sentiment-driven market," Papers 1705.07092, arXiv.org.
  20. Skouras, Spyros, 2001. "Financial returns and efficiency as seen by an artificial technical analyst," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 213-244, January.
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  24. Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney.
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  28. Karolina Safarzyńska & Jeroen Bergh, 2010. "Evolutionary models in economics: a survey of methods and building blocks," Journal of Evolutionary Economics, Springer, vol. 20(3), pages 329-373, June.
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  31. Guy Maugis, Pierre-André, 2019. "Paradigm shifts," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-9.
  32. Brock,W.A. & Hommes,C.H., 1998. "Rational animal spirits," Working papers 23, Wisconsin Madison - Social Systems.
  33. Ryuichi YAMAMOTO, 2005. "Evolution with Individual and Social Learning in an Agent-Based Stock Market," Computing in Economics and Finance 2005 228, Society for Computational Economics.
  34. Klos, Tomas B., 1999. "Governance and matching," Research Report 99B41, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  35. J. Doyne Farmer & Andrew W. Lo, 1999. "Frontiers of Finance: Evolution and Efficient Markets," Working Papers 99-06-039, Santa Fe Institute.
  36. J. V. Andersen & S. Gluzman & D. Sornette, 1999. "Fundamental Framework for Technical Analysis," Papers cond-mat/9910047, arXiv.org.
  37. Mikhail Anufriev & Giulio Bottazzi & Francesca Pancotto, 2004. "Price and Wealth Asymptotic Dynamics with CRRA Technical Trading Strategies," LEM Papers Series 2004/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  38. Jasmina Hasanhodzic & Andrew Lo & Emanuele Viola, 2011. "A computational view of market efficiency," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1043-1050.
  39. Jinke Li & Geoffrey Meen, 2016. "Agent Based Models, Housing Fluctuations and the Role of Heterogeneous Expectations," Economics Discussion Papers em-dp2016-09, Department of Economics, University of Reading.
  40. Tesfatsion, Leigh, 1998. "Teaching Agent-Based Computational Economics to Graduate Students," ISU General Staff Papers 199807010700001043, Iowa State University, Department of Economics.
  41. Mario A Bertella & Felipe R Pires & Ling Feng & Harry Eugene Stanley, 2014. "Confidence and the Stock Market: An Agent-Based Approach," PLOS ONE, Public Library of Science, vol. 9(1), pages 1-9, January.
  42. Katahira, Kei & Chen, Yu & Hashimoto, Gaku & Okuda, Hiroshi, 2019. "Development of an agent-based speculation game for higher reproducibility of financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 503-518.
  43. Taisei Kaizoji, 2003. "Speculative bubbles and fat tail phenomena in a heterogeneous agent model," Papers nlin/0312040, arXiv.org.
  44. Eric Ringhut & Stefan Kooths, 2003. "Modeling Expectations with GENEFER -- an Artificial Intelligence Approach," Computational Economics, Springer;Society for Computational Economics, vol. 21(1_2), pages 173-194, February.
  45. Gaunersdorfer, Andrea & Hommes, Cars H. & Wagener, Florian O.O., 2008. "Bifurcation routes to volatility clustering under evolutionary learning," Journal of Economic Behavior & Organization, Elsevier, vol. 67(1), pages 27-47, July.
  46. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
  47. Anufriev, Mikhail & Panchenko, Valentyn, 2009. "Asset prices, traders' behavior and market design," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1073-1090, May.
  48. Lucia Milone & Paolo Pellizzari, 2009. "Mutual Funds Flows and the “Sheriff of Nottingham” Effect," Lecture Notes in Economics and Mathematical Systems, in: Cesáreo Hernández & Marta Posada & Adolfo López-Paredes (ed.), Artificial Economics, chapter 0, pages 117-128, Springer.
  49. Sergiy Gerasymchuk, 2008. "Asset return and wealth dynamics with reference dependent preferences and heterogeneous beliefs," Working Papers 160, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  50. Mikhail Goykhman & Ali Teimouri, 2017. "Machine learning in sentiment reconstruction of the simulated stock market," Papers 1708.01897, arXiv.org.
  51. Lars J. Ravn-Jonsen, 2009. "Ecosystem Management a Management View," Working Papers 86/09, University of Southern Denmark, Department of Sociology, Environmental and Business Economics.
  52. Xiong Xiong & Yian Cui & Xiaocong Yan & Jun Liu & Shaoyi He, 2020. "Cost-benefit analysis of trading strategies in the stock index futures market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-17, December.
  53. Bàrbara Llacay & Gilbert Peffer, 2018. "Using realistic trading strategies in an agent-based stock market model," Computational and Mathematical Organization Theory, Springer, vol. 24(3), pages 308-350, September.
  54. Hommes, C.H., 2006. "Interacting agents in finance, entry written for the New Palgrave Dictionary of Economics, Second Edition, edited by L. Blume and S. Durlauf, Palgrave Macmillan, forthcoming 2006," CeNDEF Working Papers 06-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  55. Shareen Joshi & Jeffrey Parker & Mark A. Bedau, 1998. "Technical Trading Creates a Prisoner's Dilemma: Results from an Agent-Based Model," Research in Economics 98-12-115e, Santa Fe Institute.
  56. Thomas Schuster, 2003. "Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media," Finance 0307014, University Library of Munich, Germany.
  57. Hommes, C.H., 2005. "Heterogeneous Agents Models: two simple examples, forthcoming In: Lines, M. (ed.) Nonlinear Dynamical Systems in Economics, CISM Courses and Lectures, Springer, 2005, pp.131-164," CeNDEF Working Papers 05-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  58. Baosheng Yuan & Kan Chen, 2006. "Impact of investor’s varying risk aversion on the dynamics of asset price fluctuations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 1(2), pages 189-214, November.
  59. Rzeszutek, Marcin & Godin, Antoine & Szyszka, Adam & Augier, Stanislas, 2020. "Managerial overconfidence in initial public offering decisions and its impact on macrodynamics and financial stability: Analysis using an agent-based model," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
  60. Shareen Joshi & Mark A. Bedau, 1998. "An Explanation of Generic Behavior in an Evolving Financial Market," Research in Economics 98-12-114e, Santa Fe Institute.
  61. He, Xue-Zhong & Lin, Shen, 2022. "Reinforcement Learning Equilibrium in Limit Order Markets," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  62. Zijian Shi & Yu Chen & John Cartlidge, 2021. "The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network," Papers 2103.01670, arXiv.org.
  63. Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov, 2007. "Asset price dynamics with small world interactions under hetereogeneous beliefs," Working Papers 149, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  64. Barbara Llacay & Gilbert Peffer, 2019. "Impact of Basel III Countercyclical Measures on Financial Stability: An Agent-Based Model," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 22(1), pages 1-6.
  65. Brock,W.A. & Hommes,C.H., 2001. "Evolutionary dynamics in financial markets with many trader types," Working papers 7, Wisconsin Madison - Social Systems.
  66. Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance 0405018, University Library of Munich, Germany.
  67. Feldman, Todd, 2010. "Portfolio manager behavior and global financial crises," Journal of Economic Behavior & Organization, Elsevier, vol. 75(2), pages 192-202, August.
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  69. Andrew Lo & Nicholas Chan & Blake LeBaron & Tomaso Poggio, 1999. "Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders," Computing in Economics and Finance 1999 653, Society for Computational Economics.
  70. Andrea Gaunersdorfer & Cars Hommes, 2007. "A Nonlinear Structural Model for Volatility Clustering," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 265-288, Springer.
  71. Mikhail Anufriev & Giulio Bottazzi, 2004. "Asset Pricing Model with Heterogeneous Investment Horizons," LEM Papers Series 2004/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  72. Youwei Li & Xue-Zhong He, 2005. "Long Memory, Heterogeneity, and Trend Chasing," Computing in Economics and Finance 2005 113, Society for Computational Economics.
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