Heterogeneous agent models in financial markets: A nonlinear dynamics approach

He, XZ; Li, Y; Zheng, M

Heterogeneous agent models in financial markets: A nonlinear dynamics approach

He, XZ

Li, Y Zheng, M

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Publication Type:: Journal Article
Citation:: International Review of Financial Analysis, 2019, 62 pp. 135 - 149
Issue Date:: 2019-03-01

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Field	Value	Language
dc.contributor.author	He, XZ https://orcid.org/0000-0003-1446-9996	en_US
dc.contributor.author	Li, Y	en_US
dc.contributor.author	Zheng, M	en_US
dc.date.available	2021-04-01T18:02:32Z
dc.date.issued	2019-03-01	en_US
dc.identifier.citation	International Review of Financial Analysis, 2019, 62 pp. 135 - 149	en_US
dc.identifier.issn	1057-5219	en_US
dc.identifier.uri	http://hdl.handle.net/10453/132227
dc.description.abstract	© 2018 Elsevier Inc. 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.	en_US
dc.relation.ispartof	International Review of Financial Analysis	en_US
dc.relation.isbasedon	10.1016/j.irfa.2018.11.016	en_US
dc.rights	info:eu-repo/semantics/embargoedAccess
dc.subject.classification	Finance	en_US
dc.title	Heterogeneous agent models in financial markets: A nonlinear dynamics approach	en_US
dc.type	Journal Article
utslib.citation.volume	62	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
utslib.for	1801 Law	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.publication-status	Published	en_US
pubs.volume	62	en_US

Abstract:

© 2018 Elsevier Inc. 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.

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http://hdl.handle.net/10453/132227