Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets

Xuezhong (Tony) He ()

No 316, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: Heterogeneity and interacting among boundedly rational agents have received an increasing attention in the finance and economics literature. Recent developments on the role of heterogeneous beliefs on asset pricing and the adaptive behaviour of financial markets shed light into the complex behaviour of financial markets and provides some explanations of certain market behaviour and anomalies. This paper surveys these developments, of which the author and several coauthors have contributed in several papers, and discusses the extent to which they can address market anomalies, complexity, and stylized facts in financial markets.

Keywords: heterogeneous beliefs; bounded rationality; disagreement; fundamentalists; chartists; stability; stochastic delay differential equations (search for similar items in EconPapers)
JEL-codes: E32 G12 G14 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2012-10-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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