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Citations for "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies"

by Carl Chiarella & Xue-Zhong He

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  1. Lux, Thomas & Schornstein, Sascha, 2003. "Genetic learning as an explanation of stylized facts of foreign exchange markets," Economics Working Papers 2003-12, Christian-Albrechts-University of Kiel, Department of Economics.
  2. Anufriev, M. & Dindo, P.D.E., 2007. "Wealth Selection in a Financial Market with Heterogeneous Agents," CeNDEF Working Papers 07-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  3. Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2006. "Asset price and wealth dynamics in a financial market with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1755-1786.
  4. Mikhail Anufriev, 2008. "Wealth-driven competition in a speculative financial market: examples with maximizing agents," Quantitative Finance, Taylor & Francis Journals, vol. 8(4), pages 363-380.
  5. Mikhail Anufriev & Pietro Dindo, 2009. "Wealth-driven Selection in a Financial Market with Heterogeneous Agents," Post-Print hal-00763494, HAL.
  6. Orlando Gomes, 2004. "A Continuous-Time Asset Pricing Model with Boundedly Rational Heterogeneous Agents," Finance 0409055, EconWPA.
  7. Markus Demary, 2007. "Who Do Currency Transaction Taxes Harm More: Short-Term Speculators or Long-Term Investors?," Working Papers wp07-05, Warwick Business School, Finance Group.
  8. Youwei Li & Bas Donkers, 2004. "The Econometric Analysis of Microscopic Simulation Models," Computing in Economics and Finance 2004 195, Society for Computational Economics.
  9. Orlando Gomes, 2004. "Heterogeneous Researchers in a Two-Sector Representative Consumer Economy," GE, Growth, Math methods 0409009, EconWPA.
  10. Jiri Kukacka & Jozef Barunik, 2012. "Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment," Papers 1205.3763, arXiv.org, revised May 2013.
  11. Pietro Dindo & Mikhail Anufriev, 2007. "Equilibrium Return and Agents' Survival in a Multiperiod Asset Market: Analytic Support of a Simulation Model," Working Papers wp07-03, Warwick Business School, Finance Group.
  12. Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden).
  13. Demary, Markus, 2006. "Transaction taxes, traders' behavior and exchange rate risks," Economics Working Papers 2006,14, Christian-Albrechts-University of Kiel, Department of Economics.
  14. Xue-Zhong He & Youwei Li, 2015. "The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30," Research Paper Series 364, Quantitative Finance Research Centre, University of Technology, Sydney.
  15. Anufriev, Mikhail & Bottazzi, Giulio & Pancotto, Francesca, 2006. "Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1787-1835.
  16. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. 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.
  18. Demary Markus, 2008. "Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 228-250, April.
  19. Demary, Markus, 2010. "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 4, pages 1-44.
  20. Demary, Markus, 2007. "A Heterogenous Agents Model Usable for the Analysis of Currency Transaction Taxes," Economics Working Papers 2007,27, Christian-Albrechts-University of Kiel, Department of Economics.
  21. Blake LeBaron, 2011. "Active and Passive Learning in Agent-based Financial Markets," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 37(1), pages 35-43.
  22. Park, Beum-Jo, 2014. "Time-varying, heterogeneous risk aversion and dynamics of asset prices among boundedly rational agents," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 150-159.
  23. Mikhail Anufriev & Giulio Bottazzi, 2005. "Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Traders," LEM Papers Series 2005/06, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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