Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Heterogeneous Expectations And Asset Price Dynamics full books in PDF, epub, and Kindle. Read online Heterogeneous Expectations And Asset Price Dynamics ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Noemi Schmitt
Publisher :
ISBN 13 : 9783943153552
Total Pages : pages
Book Rating : 4.1/5 (535 download)
Download or read book Heterogeneous Expectations and Asset Price Dynamics written by Noemi Schmitt and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Florian Heitger
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (725 download)
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.
Author : Carl Chiarella
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (223 download)
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:
Author : Thorsten Hens
Publisher : Elsevier
ISBN 13 : 0080921434
Total Pages : 607 pages
Book Rating : 4.0/5 (89 download)
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
Author : Fredj Jawadi
Publisher : Springer
ISBN 13 : 3319987143
Total Pages : 214 pages
Book Rating : 4.3/5 (199 download)
Download or read book Uncertainty, Expectations and Asset Price Dynamics written by Fredj Jawadi and published by Springer. This book was released on 2018-11-30 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.
Author : Cars Hommes
Publisher : Cambridge University Press
ISBN 13 : 110701929X
Total Pages : 273 pages
Book Rating : 4.1/5 (7 download)
Download or read book Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems written by Cars Hommes and published by Cambridge University Press. This book was released on 2013-01-24 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recognising that the economy is a complex system with boundedly rational interacting agents, applies complexity modelling to economics and finance.
Author : Thomas Gomez
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (117 download)
Download or read book Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model written by Thomas Gomez and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a heuristic switching model of an asset market where the agents' choice of heuristic is consistent with their individual risk aversion. They choose between a fundamentalist and a trend-following rule to form expectations about the price of a risky asset. Given their risk aversion, agents make a deterministic trade-off between mean and variance both in choosing a forecasting heuristic and determining the number of risky assets to buy. Heterogeneous risk preferences can lead to diverse choices of heuristic. Using empirical estimates for the distribution of risk aversion, simulations show that the resulting time-varying heterogeneity of expectations can give rise to chaotic dynamics: irregular booms and busts in the asset price without exogenous shocks. Small, stochastic price shocks lead to larger asset price bubbles, and can make stable solutions explosive. We prove that a representative agent cannot capture our model.
Author : Blake LeBaron
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book Heterogeneous Gain Learning and the Dynamics of Asset Prices written by Blake LeBaron and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Klaus Adam
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (131 download)
Download or read book Expectations Data in Asset Pricing written by Klaus Adam and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset prices reflect investors' subjective beliefs about future cash flows and prices. In this chapter, we review recent research on the formation of these beliefs and their role in asset pricing. Return expectations of individual and professional investors in surveys differ markedly from those implied by rational expectations models. Variation in subjective expectations of future cash flows and price levels appear to account for much of aggregate stock market volatility. Mapping the survey evidence into agent expectations in asset pricing models is complicated by measurement errors and belief heterogeneity. Recent efforts to build asset pricing models that match the survey evidence on subjective belief dynamics include various forms of learning about payout or price dynamics, extrapolative expectations, and diagnostic expectations. Challenges for future research include the exploration of subjective risk perceptions, aggregation of measured beliefs, and links between asset market expectations and the macroeconomy.
Author : Antonio Cabrales
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (311 download)
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 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Elias Albagli
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (759 download)
Download or read book A Theory of Asset Pricing Based on Heterogeneous Information written by Elias Albagli and published by . This book was released on 2011 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of different securities. Our main analytical innovation is in formulating a model of noisy information aggregation through asset prices, which is parsimonious and tractable, yet flexible in the specification of cash flow risks. We show that the noisy aggregation of heterogeneous investor beliefs drives a systematic wedge between the impact of fundamentals on an asset price, and the corresponding impact on cash flow expectations. The key intuition behind the wedge is that the identity of the marginal trader has to shift for different realization of the underlying shocks to satisfy the market-clearing condition. This identity shift amplifies the impact of price on the marginal trader's expectations. We derive tight characterization for both the conditional and the unconditional expected wedges. Our first main theorem shows how the sign of the expected wedge (that is, the difference between the expected price and the dividends) depends on the shape of the dividend payoff function and on the degree of informational frictions. Our second main theorem provides conditions under which the variability of prices exceeds the variability for realized dividends. We conclude with two applications of our theory. First, we highlight how heterogeneous information can lead to systematic departures from the Modigliani-Miller theorem. Second, in a dynamic extension of our model we provide conditions under which bubbles arise -- National Bureau of Economic Research web site.
Author : Robert D. Weaver
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Heterogeneous Subjective Moments and Price Dynamics written by Robert D. Weaver and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Differential expectations have long been presumed necessary for the existence of speculative markets. At an empirical level, considerable evidence further suggests that agents may not hold rational expectations. The representative agent hypothesis is disputable on theoretical grounds because it is not consistent with observed trading behavior and the existence of markets. It has been favored in the past due to intractability of aggregation associated with heterogeneity. Now, due to improved computing technology, explicit aggregation problems are becoming tractable. Heterogeneous expectations must be considered seriously in price analysis because they bring our models one step closer to reality.
Author : Elías Albagli
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (824 download)
Download or read book A Theory of Asset Prices Based on Heterogeneous Information written by Elías Albagli and published by . This book was released on 2013 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yuanying Guan
Publisher :
ISBN 13 :
Total Pages : 104 pages
Book Rating : 4.:/5 (767 download)
Download or read book Asset Market Dynamics of Heterogeneous Agent Models with Learning written by Yuanying Guan and published by . This book was released on 2011 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: The standard Lucas asset pricing model makes two common assumptions of homogeneous agents and rational expectations equilibrium. However, these assumptions are unrealistic for real financial markets. In this work, we relax these assumptions and establish a Lucas type agent-based asset pricing model. We create an artificial economy with a single risky asset and populate it with heterogeneous, boundedly rational, utility maximizing, infinitely lived and forward looking agents. We restrict agents' information by allowing them to use only available information when they make optimal choices. With independent, identically distributed market returns, agents are able to compute their policy functions and the equilibrium pricing function with Duffie's method (Duffie, 1988) without perfect information about the market. When agents are out of equilibrium, they simultaneously compute their policy functions with predictive pricing functions and use adaptive learning schemes to learn the motion of the correct pricing function. Agents are able to learn the correct equilibrium pricing function with certain risk and learning parameters. In some other cases, the market price has excess volatility and the trading volume is very high. Simulations of the market behavior show rich dynamics, including a whole cascade from period doubling bifurcations to chaos. We apply the full families theory (De Melo and Van Strien, 1993) to prove that the rich dynamics do not come from numerical errors but are embedded in the structure of our dynamical system.
Download or read book Asset Pricing Model with Heterogeneous Investment Horizons written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study the dynamics of a simple asset pricing model describing the trading activity of heterogeneous agents in a "stylized" market. The economy in the model contains two assets: a bond with risk-less return and a dividend paying stock. The price of the stock is determined through market clearing condition. Traders are speculators described as expected utility maximizers with heterogeneous beliefs about future stock price and with heterogeneous estimation of risk. In particular, we consider traders who base their investment decision on different time horizons and we analyze the effect of these differences on the price dynamics. Under suitable parameterization, the stock no-arbitrage "fundamental" price can emerge as a stable fixed point of the model dynamics. For different parameterizations, however, the market shows cyclical or chaotic price dynamics with speculative bubbles and crashes. We find that the sole heterogeneity of agents with respect to their time horizons is not enough to guarantee the instability of the fundamental price and the emergence of non-trivial price dynamics. However, if different groups of agents are characterized by different trading behaviors, the introduction of heterogeneous investment horizons can help to decrease the stability region of the "fundamental" fixed point. The role of time horizons turns out to be different for different trade behaviors and, in general, depends on the whole ecology of agents' beliefs. We demonstrate this effect discussing a case in which the increase of fundamentalists time horizons can lead to cyclical or chaotic price behavior, while the same increase for the chartists helps to stabilize the fundamental price. -- Asset pricing ; Heterogenous beliefs ; Investment horizons
Author : Cars Hommes
Publisher : Elsevier
ISBN 13 : 0444641327
Total Pages : 836 pages
Book Rating : 4.4/5 (446 download)
Download or read book Computational Economics: Heterogeneous Agent Modeling written by Cars Hommes and published by Elsevier. This book was released on 2018-06-27 with total page 836 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Computational Economics: Heterogeneous Agent Modeling, Volume Four, focuses on heterogeneous agent models, emphasizing recent advances in macroeconomics (including DSGE), finance, empirical validation and experiments, networks and related applications. Capturing the advances made since the publication of Volume Two (Tesfatsion & Judd, 2006), it provides high-level literature with sections devoted to Macroeconomics, Finance, Empirical Validation and Experiments, Networks, and other applications, including Innovation Diffusion in Heterogeneous Populations, Market Design and Electricity Markets, and a final section on Perspectives on Heterogeneity. - Helps readers fully understand the dynamic properties of realistically rendered economic systems - Emphasizes detailed specifications of structural conditions, institutional arrangements and behavioral dispositions - Provides broad assessments that can lead researchers to recognize new synergies and opportunities
Author : Pietro Dino Enrico Dindo
Publisher : Rozenberg Publishers
ISBN 13 : 9051709366
Total Pages : 180 pages
Book Rating : 4.0/5 (517 download)
Download or read book Bounded rationality and heterogeneity in economic dynamic models written by Pietro Dino Enrico Dindo and published by Rozenberg Publishers. This book was released on 2007 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
