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

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dc.contributor.author Chiarella, C
dc.contributor.author He, X
dc.contributor.editor Seese, D
dc.contributor.editor Weinhardt, C
dc.contributor.editor Schlottmann, F
dc.date.accessioned 2010-06-16T04:56:26Z
dc.date.issued 2008-01
dc.identifier.citation Handbook on Information Technology in Finance, 2008, 1, pp. 465 - 499
dc.identifier.isbn 9783540494867
dc.identifier.other B1 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
dc.publisher Springer
dc.relation.hasversion Accepted manuscript version
dc.relation.isbasedon 10.1007/978-3-540-49487-4_20
dc.title An adaptive model of asset price and wealth dynamics in a market with heterogeneous trading strategies
dc.type Chapter
dc.parent Handbook on Information Technology in Finance
dc.journal.number en_US
dc.publocation Germany en_US
dc.identifier.startpage 465 en_US
dc.identifier.endpage 499 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1401 Economic Theory
dc.for 1403 Econometrics
dc.personcode 010238
dc.personcode 716350
dc.percentage 60 en_US
dc.classification.name Econometrics en_US
dc.classification.type FOR-08 en_US
dc.edition 1 en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US
pubs.embargo.period Not known
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
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Open Access
utslib.copyright.date 2015-04-15 12:23:47.074767+10
utslib.collection.history Finance (ID: 371)
utslib.collection.history General (ID: 2)


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