Download or read book Heterogeneous Beliefs Wealth Accumulation and Asset Price Dynamics written by Antonio Cabrales and published by . This book was released on 1993 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Price and Wealth Dynamics with Heterogeneous Expectations written by Florian Heitger and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on a classical financial market model different model variants known from the literature are discussed and analyzed, each focussing on modeling financial markets as a nonlinear dynamic system by introducing the formation of (heterogeneous) beliefs about future asset prices into the model framework. Furthermore, a market model under a market maker scenario is proposed which brings these types of financial market models to a more consistent and more realistic model structure. The proposed market model explicitly takes into account the risky-asset supply side. This extension in the model structure allows to model the risk premium demanded by the market participants for taking market risk, which appears to be endogenously driven by the market over time. The resulting dynamics of asset price and agents' wealth is analyzed within a chartist-fundamentalist framework. Within this model framework it becomes possible to characterize the market equilibria and the other kinds of asymptotic behavior in terms of the long-run evolution of wealth proportions and risky-asset returns. Moreover it is shown to which extent those heterogeneous expectations in the agent-based market model can explain observed fluctuations in real financial markets and lead to the emergence of complicated dynamics of growing asset price paths.
Download or read book Heterogeneous Beliefs and Asset Price Dynamics written by Saskia Ter Ellen and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Return and Wealth Dynamics with Reference Dependent Preferences and Heterogeneous Beliefs written by Sergiy Gerasymchuk and published by . This book was released on 2008 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a model of a financial market populated with heterogenous agents whose preferences exhibit dependence on some reference level of wealth. Investment decisions of the agents are myopic and are based upon the demand for the risky asset derived from an S-shaped utility maximization. The specific demand form allows to model both heterogeneity of the system relative to the reference points of the agents and heterogeneity with respect to their beliefs about the future asset return. We analyze the impact of the former layer of heterogeneity on the asset return and wealth dynamics.
Download or read book Handbook of Financial Markets Dynamics and Evolution written by Thorsten Hens and published by Elsevier. This book was released on 2009-06-12 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Download or read book Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs written by Timothy Cogley and published by . This book was released on 2015 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two types of agents have diverse beliefs about the law of motion for an exogenous endowment. One type knows the true law of motion and the other learns about it via Bayes' theorem. Financial market structure affects the dynamics of the distribution of financial wealth. When markets are complete, the learning agent loses wealth, as in Blume and Easley (2006). The absence of markets for some Arrow securities alters the direction in which wealth is transferred relative to a complete markets economy. In an economy in which only a risk-free bond is traded, the learning agent accumulates wealth, both agents survive asymptotically, and the more knowledgeable agent is driven to his debt limit.
Download or read book Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents written by Carl Chiarella and published by . This book was released on 2004 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Price and Wealth Dynamics Under Heterogeneous Expectations written by Carl Chiarella and published by . This book was released on 2001 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Heterogeneous Beliefs and Routes to Complex Dynamics in Asset Pricing Models with Price Contingent Contracts written by William A. Brock and published by . This book was released on 2002 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Price Dynamics in Equilibrium Models written by Jan Tuinstra and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 243 pages. Available in PDF, EPUB and Kindle. Book excerpt: A long-standing unsolved problem in economic theory is how economic equilibria are attained. Price Dynamics in Equilibrium Models: The Search for Equilibrium and the Emergence of Endogenous Fluctuations considers a number of adjustment processes in different economic models and investigates their dynamical behaviour. Two important themes arising in this context are `bounded rationality' and `nonlinear dynamics'. Important sub-themes of the book are the following: how do boundedly rational agents interact with their environment and does this interaction in some sense lead to rational outcomes (which may or may not correspond to equilibria)? The second sub-theme deals with the consequences of the nonlinear dynamical nature of many adjustment processes. The results presented in this volume indicate that endogenous fluctuations are the rule rather than the exception in the search for equilibrium. The book uses the theory of nonlinear dynamics to analyze the dynamics of the different economic models. Due to the complexity of most of the models, an important role is played by computational methods. In particular, at regular instances the models are analyzed by numerical simulations and some computer-assisted proofs are provided. It also covers a wide range of dynamical models from economic theory. Most of these models merge the theory of nonlinear economic dynamics with the theory of bounded rationality. The book is written for anyone with an interest in economic theory in general and bounded rationality and endogenous fluctuations in particular. It is entirely self-contained and accessible to readers with only a limited knowledge of economic theory.
Download or read book An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies written by Carl Chiarella and published by . This book was released on 2002 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Equity Premium written by Filippo Taddei and published by . This book was released on 2005 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abandoning the representative agent framework to introduce heterogeneity of beliefs across different agents allows us to build a link between wealth distribution and the equity premium. We demonstrate that an economy populated only by risk neutral agents may nonetheless display a strictly positive equity premium. Moreover, belief heterogeneity provides a possible explanation of the temporal evolution of the premium.We then place our notion of beliefs heterogeneity within the popular representative agent construct and argue that, given any level of belief heterogeneity, equilibrium prices in a multi agent economy can be replicated in a representative agent economy assuming a particular degree of risk aversion. A fully dynamic model of consumption based asset pricing with belief heterogeneity follows.Finally, we suggest an explanation for the market behavior of the equity premium in the last decade: a story of heterogeneous optimism versus homogeneous pessimism is presented.
Download or read book Growth Theory Nonlinear Dynamics and Economic Modelling written by William A. Brock and published by Edward Elgar Publishing. This book was released on 2001-01-01 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Buz Brock's contribution to economic theory in general and economic dynamics in particular are characterized by an unmatched richness of ideas and by deep theoretical, empirical as well as computational analysis. Brock's contribution to economic dynamics range from one extreme of the field, global stability of stochastic optimal growth models, to another extreme, market instability and nonlinearity in economic and financial modelling and data analysis. But his work also includes environmental and economic policy issues and, more recently, the modelling of markets as complex adaptive systems. This collection of essays reflects Brock's richness of ideas that have motivated economists for more than three decades already and will continue to influence many economists for the next decades to come.' - Cars H. Hommes, University of Amsterdam, The Netherlands 'Buz Brock has been, from the beginning of his career, one of the most original thinkers in dynamic economics. His early work showed that growth with random elements could be studied effectively and above all posed exactly the right questions. His more recent work has brought complexity theory to the fore and shown its implications for financial and other markets. In the process, he has both introduced and used econometric tools to show the relevance of his work to empirically observed phenomena. It is very useful to have his work in collected form.' - Kenneth J. Arrow, Stanford University, US This outstanding collection of William Brock's essays illustrates the power of dynamic modelling to shed light on the forces for stability and instability in economic systems. The articles selected reflect his best work and are indicative both of the type of policy problem that he finds challenging and the complex methodology that he uses to solve them. Also included is an introduction by Brock to his own work, which helps tie together the main aspects of his research to date.
Download or read book Nonlinear Dynamics and Heterogeneous Interacting Agents written by Thomas Lux and published by Springer Science & Business Media. This book was released on 2006-06-06 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic application of nonlinear dynamics, microscopic agent-based modelling, and the use of artificial intelligence techniques as learning devices of boundedly rational actors are among the most exciting interdisciplinary ventures of economic theory over the past decade. This volume provides us with a most fascinating series of examples on "complexity in action" exemplifying the scope and explanatory power of these innovative approaches.
Download or read book Speculation and Financial Wealth Distribution Under Belief Heterogeneity written by Dan Cao and published by . This book was released on 2017 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Under limited commitment that prevents agents from pledging their future non-financial wealth, agents with incorrect beliefs always survive by holding on to their non-financial wealth. Friedman (1953)'s market selection hypothesis suggests that their financial wealth trends towards zero in the long run. However, in this paper, we present a dynamic general equilibrium model with incomplete markets due to collateral constraints and show that the hypothesis depends on the degree of market incompleteness. When markets are more incomplete, over-optimistic agents not only survive but also prosper by speculation. But they end up with low long run financial wealth when markets are more complete. In this model, stricter margin requirements protect the wealth of the optimists and thereby increase asset price volatility. The numerical method developed in this paper can be used for many other heterogeneous agent models with recursive utility functions, incomplete markets, portfolio constraints, and in the presence of non-tradable endowments.
Download or read book Heterogeneity Market Mechanisms and Asset Price Dynamics written by Carl Chiarella and published by . This book was released on 2009 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter surveys the boundedly rational heterogeneous agent (BRHA) models of financial markets, to the development of which the authors and several co-authors have contributed in various papers. We give particular emphasis to role of the market clearing mechanism used, the utility function of the investors, the interaction of price and wealth dynamics, portfolio implications, the impact of stochastic elements on the markets dynamics, and calibration of this class of models. Due to agents' behavioural features and market noise, the BRHA models are both nonlinear and stochastic. We show that the BRHA models produce both a locally stable fundamental equilibrium corresponding to that of standard paradigm, as well as instability with a consequent rich range of possible complex behaviours characterised both indirectly by simulation and directly by stochastic bifurcations. A calibrated model is able to reproduce quite well the stylized facts of financial markets. The BRHA framework is thus able to accommodate market features that seem not easily reconcilable for the standard financial market paradigm, such as fat tail, volatility clustering, large excursions from the fundamental and bubbles.
Download or read book Heterogeneous Beliefs Asset Prices and Volatility in a Pure Exchange Economy written by Tao Li and published by . This book was released on 2006 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper extends the Lucas (1978) model to a setting in which investors have heterogeneous beliefs about the structure of a dividend process. By assuming that all investors have logarithmic preferences and different subjective discount rates, we can obtain a closed-form representation of the stock price. This closed-form solution enables us to analyze the dynamics of the stock price and its volatility. The model can simutaneously generate several well-known empirical facts - excessive volatility, leverage effects, and positive relationships between price and trading volume and between volatility and volume. All of these effects are driven by the different beliefs of investors.
