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Behavioral heterogeneity in stock prices
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Speculative Behavior, Regime-Switching, and Stock Market Crashes
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Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model
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Rational expectations equilibrium with conditioning on past prices: A mean-variance example
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Mean reversion in stock prices
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Exchange rate puzzles: A tale of switching attractors
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Heterogeneous beliefs and routes to chaos in a simple asset pricing model
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Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations
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On information and market dynamics: The case of the U.S. beef market
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A global optimization heuristic for estimating agent based models
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Disappearing dividends: changing firm characteristics or lower propensity to pay?
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Breadth of ownership and stock returns
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A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler,…
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Chapter 23 Heterogeneous Agent Models in Economics and Finance
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Chapter 18 A survey of behavioral finance
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Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
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The Valuation and Market Rationality of Internet Stock Prices
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Differences of Opinion Make a Horse Race
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Differences of Opinion, Short-Sales Constraints, and Market Crashes
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Coordination of Expectations in Asset Pricing Experiments
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Investor Psychology and Asset Pricing
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Differences of Opinion and the Cross Section of Stock Returns
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RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION
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Does the Stock Market Rationally Reflect Fundamental Values?
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Further Evidence On Investor Overreaction and Stock Market Seasonality
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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Market Statistics and Technical Analysis: The Role of Volume
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Measuring Bubble Expectations and Investor Confidence
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On Testing for Speculative Bubbles
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Chapter 5. Valuation Ratios and the Long-run Stock Market Outlook: An Update
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Indirect Estimation of the Parameters of Agent Based Models of Financial Markets
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Equilibrium Asset Pricing Under Heterogeneous Information
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Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists
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A Specification Test for Speculative Bubbles
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Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets
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The Present-Value Relation: Tests Based on Implied Variance Bounds
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Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
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Stock Market Volatility in a Heterogeneous Information Economy
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Incoming claims: where this work appears in other papers’ reference lists and arguments.
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Empirical Validation of Agent-Based Models ✶ ✶We gratefully acknowledge the very detailed and careful comments by three anonymous reviewers. Very useful feedback and comments have also been provided by Robert Axtell, Herbert Dawid, Cees Diks, and Blake LeBaron.
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Heterogeneous Agent Models in Finance ✶ ✶Acknowledgments: We are grateful to the editors, Cars Hommes and Blake LeBaron, and three reviewers for their very helpful comments. We also thank the participants to the Workshop “Handbook of Computational Economics, Volume 4, Heterogeneous Agent Models”,…
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Heterogeneous expectations, housing bubbles and tax policy
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Sentiment: The bridge between financial markets and macroeconomy
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Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics.
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Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets
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Impact of different investment horizons in heterogeneous agent models: Do long-term traders bring market stability?
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Investor behavior in the currency option market during the COVID-19 pandemic
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Informational differences and learning in an asset market with boundedly rational agents
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Staggered updating in an artificial financial market
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Estimating the intensity of choice in a dynamic mutual fund allocation decision
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Exchange rates and fundamentals under adaptive learning
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Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation
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Behavioral heterogeneity in dynamic search situations: Theory and experimental evidence
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Can a stochastic cusp catastrophe model explain stock market crashes?
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More hedging instruments may destabilize markets
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Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis
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Inflation expectations and macroeconomic dynamics: The case of rational versus extrapolative expectations
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Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates
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Financial crises and interacting heterogeneous agents
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On the specification of noise in two agent-based asset pricing models
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Behavioral heterogeneity in the option market
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An analysis of the effect of noise in a heterogeneous agent financial market model
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The heterogeneous expectations hypothesis: Some evidence from the lab
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Structural stochastic volatility in asset pricing dynamics: Estimation and model contest
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The Euro/Dollar exchange rate: Chaotic or non-chaotic? A continuous time model with heterogeneous beliefs
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Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach
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Nonlinear expectations in speculative markets – Evidence from the ECB survey of professional forecasters
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Estimation of an agent-based model of investor sentiment formation in financial markets
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Heterogeneity in Stock Prices: A STAR Model with Multivariate Transition Function
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Strategy Switching in the Japanese Stock Market
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Asset price dynamics with heterogeneous beliefs and local network interactions
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Heterogeneous expectations in the gold market: Specification and estimation
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Optimism, pessimism and financial bubbles
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Speculative behavior and the dynamics of interacting stock markets
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Estimation of ergodic agent-based models by simulated minimum distance
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Learning from experience in the stock market
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A Calibration Procedure for Analyzing Stock Price Dynamics in an Agent-Based Framework
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Itchy feet vs cool heads: Flow of funds in an agent-based financial market
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Can a stochastic cusp catastrophe model explain housing market crashes?
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Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear economic dynamics approach
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The stock–bond comovements and cross-market trading
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Empirical properties of a heterogeneous agent model in large dimensions
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On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations
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Booms, busts and behavioural heterogeneity in stock prices
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Estimation of financial agent-based models with simulated maximum likelihood
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An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
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Estimation of agent-based models using sequential Monte Carlo methods
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Agent-based model calibration using machine learning surrogates
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Time-varying arbitrage and dynamic price discovery
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A laboratory experiment on the heuristic switching model
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Contagion between asset markets: A two market heterogeneous agents model with destabilising spillover effects
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Identifying booms and busts in house prices under heterogeneous expectations
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Co-Existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model
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Stock prices and the risk-free rate: An internal rationality approach
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Multi-agent-based VaR forecasting
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Estimation of Heuristic Switching in Behavioral Macroeconomic Models
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Believe me when I say green! Heterogeneous expectations and climate policy uncertainty
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Leaning against the wind in the New Keynesian model with heterogeneous expectations
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Sentiment-driven speculation in financial markets with heterogeneous beliefs: A machine learning approach
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Generalizing heuristic switching models and a (boundedly) rational route away from randomness
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Expectation Formation in Financial Markets: Heterogeneity and Sentiment
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Macroeconomic stability of price level targeting in a model of heterogeneous expectations
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I think you think I think: Hierarchical belief learning and endogenous volatility dynamics
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Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market
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Testing of a market fraction model and power-law behaviour in the DAX 30
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The AH premium: A tale of “siamese twin” stocks
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Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS
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Learning to forecast the exchange rate: Two competing approaches
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Heterogeneous expectations and equilibria selection in an evolutionary overlapping generations model
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Rethinking Housing Bubbles: The Role of Household and Bank Balance Sheets in Modeling Economic Cycles
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A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities
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Mispricing and trader positions in the S&P 500 index futures market
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Momentum mechanisms under heterogeneous beliefs
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Belief Changes and Expectation Heterogeneity in Buy- and Sell-Side Professionals in the Japanese Stock Market
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Regime-dependent herding behavior in Asian and Latin American stock markets
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Detecting positive feedback in multivariate time series: The case of metal prices and US inflation
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Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment
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Anomalous volatility scaling in high frequency financial data
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Effects of fundamentals acquisition and strategy switch on stock price dynamics
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