EconPapers    
Economics at your fingertips  
 

Heterogeneous agent models in financial markets: A nonlinear dynamics approach

Xuezhong He (), Youwei Li and Min Zheng

International Review of Financial Analysis, 2019, vol. 62, issue C, 135-149

Abstract: Studies on financial markets have accumulated consistent evidences of stylized facts and anomalies, which can be characterized by stochastic switching among different co-existing market states but yet difficult to reconcile with traditionally rational expectation theory. When agents are heterogeneous and boundedly rational, recent developments on the role of the adaptive behavior of interacting heterogeneous agents in financial markets have provided a nonlinear dynamics channel to such co-existence of different market states, shedding light into these stylized facts and anomalies. This survey focuses on the nonlinear dynamics approach to model the feedback of evolutionary dynamics of heterogeneous agents and to characterize the underlying mechanisms of the stylized facts and anomalies in financial markets, of which the authors and several coauthors have contributed in several papers.

Keywords: Stylized facts; Anomalies; Heterogeneous beliefs; Nonlinear dynamics; Stability and bifurcation (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521918301418
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:62:y:2019:i:c:p:135-149

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-07-09
Handle: RePEc:eee:finana:v:62:y:2019:i:c:p:135-149