An adaptive model of asset price and wealth dynamics in a market with heterogeneous trading strategies

Chiarella, C; He, X

An adaptive model of asset price and wealth dynamics in a market with heterogeneous trading strategies

Chiarella, C He, X

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Publisher:: Springer
Publication Type:: Chapter
Citation:: Handbook on Information Technology in Finance, 2008, 1, pp. 465 - 499
Issue Date:: 2008-01

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Field	Value	Language
dc.contributor.author	Chiarella, C	en_US
dc.contributor.author	He, X https://orcid.org/0000-0003-1446-9996	en_US
dc.contributor.editor	Seese, D	en_US
dc.contributor.editor	Weinhardt, C	en_US
dc.contributor.editor	Schlottmann, F	en_US
dc.date.issued	2008-01	en_US
dc.identifier.citation	Handbook on Information Technology in Finance, 2008, 1, pp. 465 - 499	en_US
dc.identifier.isbn	9783540494867	en_US
dc.identifier.uri	http://hdl.handle.net/10453/11712
dc.description.abstract	The traditional asset-pricing models such as the capital asset pricing model (CAPM) of [42] and [34], the arbitrage pricing theory (APT) of [40], or the intertemporal capital asset pricing model (ICAPM) of [38] have as one of their important assumptions, investor homogeneity. In particular the paradigm of the representative agent assumes that all agents are homogeneous with regard to their preferences, their expectations and their investment strategies.1 However, as already argued by Keynes in the 1930s, agents do not have sufficient knowledge of the structure of the economy to form correct mathematical expectations that would be held by all agents	en_US
dc.publisher	Springer	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0450526
dc.relation.ispartof	Handbook on Information Technology in Finance	en_US
dc.relation.isbasedon	10.1007/978-3-540-49487-4_20	en_US
dc.rights	This is a post-peer-review, pre-copyedit version of an article published in Handbook on Information Technology in Finance. The final authenticated version is available online at: https://dx.doi.org/10.1007/978-3-540-49487-4_20.	en_US
dc.title	An adaptive model of asset price and wealth dynamics in a market with heterogeneous trading strategies	en_US
dc.type	Chapter
utslib.location	Germany	en_US
utslib.for	1401 Economic Theory	en_US
utslib.for	1403 Econometrics	en_US
utslib.citation.edition	1	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.consider-herdc	true	en_US
pubs.edition	1	en_US
pubs.place-of-publication	Germany	en_US

Abstract:

The traditional asset-pricing models such as the capital asset pricing model (CAPM) of [42] and [34], the arbitrage pricing theory (APT) of [40], or the intertemporal capital asset pricing model (ICAPM) of [38] have as one of their important assumptions, investor homogeneity. In particular the paradigm of the representative agent assumes that all agents are homogeneous with regard to their preferences, their expectations and their investment strategies.1 However, as already argued by Keynes in the 1930s, agents do not have sufficient knowledge of the structure of the economy to form correct mathematical expectations that would be held by all agents

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http://hdl.handle.net/10453/11712