scholarly journals Asset Pricing with Heterogeneous Beliefs and Illiquidity

2019 ◽  
Author(s):  
Johannes Muhle-Karbe ◽  
Marcel Nutz ◽  
Xiaowei Tan
Keyword(s):  
Asset Pricing ◽  
Heterogeneous Beliefs

scholarly journals IS MORE MEMORY IN EVOLUTIONARY SELECTION (DE)STABILIZING?

2011 ◽  
Vol 16 (3) ◽  
pp. 335-357 ◽  
Author(s):  
Cars Hommes ◽  
Tatiana Kiseleva ◽  
Yuri Kuznetsov ◽  
Miroslav Verbic
Keyword(s):  
Asset Pricing ◽  
Multinomial Logit Model ◽  
Heterogeneous Beliefs ◽  
Pricing Model ◽  
Key Factors ◽  
Evolutionary Selection ◽  
Asset Pricing Model ◽  
Economic Fundamentals ◽  
Selection Dynamics ◽  
The Stability

We investigate the effects of memory on the stability of evolutionary selection dynamics based on a multinomial logit model in a simple asset pricing model with heterogeneous beliefs. Whether memory is stabilizing or destabilizing depends in general on three key factors: (1) whether or not the weights on past observations are normalized; (2) the ecology or composition of forecasting rules, in particular the average trend extrapolation factor and the spread or diversity in biased forecasts; and (3) whether or not costs for information gathering of economic fundamentals have to be incurred.

scholarly journals Analysis of a Heterogeneous Trader Model for Asset Price Dynamics

2011 ◽  
Vol 2011 ◽  
pp. 1-12 ◽  
Author(s):  
Andrew Foster ◽  
Natasha Kirby
Keyword(s):  
Asset Pricing ◽  
Fixed Points ◽  
Asset Price ◽  
Homoclinic Bifurcation ◽  
Heterogeneous Beliefs ◽  
Financial Asset ◽  
Global Bifurcations ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Stability And Bifurcations

We examine an asset pricing model of Westerhoff (2005). The model incorporates heterogeneous beliefs among traders, specifically fundamentalists and trend-chasing chartists. The form of the model is shown here to be a nonlinear planar map. Since it contains a single parameter, the model may be considered the simplest effective model yet derived for financial asset pricing with heterogeneous trading. Analysis of the map yields results for stability and bifurcations of fixed points and periodic orbits. The model has intricate attractor basin behavior and global bifurcations to chaos: symmetric homoclinic bifurcation and boundary crisis.

Asset Pricing in a Monetary Economy with Heterogeneous Beliefs

2015 ◽  
Vol 61 (9) ◽  
pp. 2203-2219 ◽  
Author(s):  
Benjamin Croitoru ◽  
Lei Lu
Keyword(s):  
Asset Pricing ◽  
Heterogeneous Beliefs ◽  
Monetary Economy

scholarly journals Do Heterogeneous Beliefs Matter for Asset Pricing?

2005 ◽  
Vol 18 (3) ◽  
pp. 875-924 ◽  
Author(s):  
Evan W. Anderson ◽  
Eric Ghysels ◽  
Jennifer L. Juergens
Keyword(s):  
Asset Pricing ◽  
Heterogeneous Beliefs
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