Asset price dynamic with heterogeneous agents

Rania Guirat ()
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Rania Guirat: Economix Paris Ouest Nanterre La Défense

Economics Bulletin, 2011, vol. 31, issue 2, A18

Abstract: We estimate in this paper a non probabilistic Markovien model of stocks prices with an evolutionary selection of heterogeneous strategies. We chose to proceed by estimation relating on 27 companies from the CAC 40 and the composite index corresponding to these 27 companies to avoid the risk of an average effect on adding these stocks. In addition, the strategy adopted by an investor can depend on his investment horizon and to verify this assumption we chose daily, monthly and quarterly data.

Keywords: heterogeneous expectations; bounded rationality; behavioural finance; evolutionary selection; stock market; nonlinearities; chartists and fundamentalists (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Date: 2011-04-06
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