scholarly journals An Asset Pricing Model with Adaptive Heterogeneous Agents and Wealth Effects

2005 ◽  
pp. 269-285 ◽  
Author(s):  
Carl Chiarella ◽  
Xue-Zhong He
Keyword(s):  
Asset Pricing ◽  
Heterogeneous Agents ◽  
Wealth Effects ◽  
Pricing Model ◽  
Asset Pricing Model

Asset Pricing Model with Heterogeneous Agents: Wealth Dynamics

2010 ◽  
Author(s):  
Serena Brianzoni ◽  
Cristiana Mammana ◽  
Elisabetta Michetti
Keyword(s):  
Asset Pricing ◽  
Heterogeneous Agents ◽  
Pricing Model ◽  
Asset Pricing Model

scholarly journals Updating Wealth in an Asset Pricing Model with Heterogeneous Agents

2010 ◽  
Vol 2010 ◽  
pp. 1-27 ◽  
Author(s):  
Serena Brianzoni ◽  
Cristiana Mammana ◽  
Elisabetta Michetti
Keyword(s):  
Asset Pricing ◽  
Heterogeneous Agents ◽  
Wealth Distribution ◽  
Three Dimensional ◽  
Trading Strategies ◽  
Adaptive Model ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Long Run ◽  
Dimensional Dynamical System

We consider an asset-pricing model with wealth dynamics in a market populated by heterogeneous agents. By assuming that all agents belonging to the same group agree to share their wealth whenever an agent joins the group (or leaves it), we develop an adaptive model which characterizes the evolution of wealth distribution when agents switch between different trading strategies. Two groups with heterogeneous beliefs are considered: fundamentalists and chartists. The model results in a nonlinear three-dimensional dynamical system, which we have studied in order to investigate complicated dynamics and to explain wealth distribution among agents in the long run.

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