Recent developments in asset pricing with heterogeneous beliefs and adaptive behaviour of financial markets

Xue Zhong He

doi:10.1007/978-3-642-29503-4_1

Recent developments in asset pricing with heterogeneous beliefs and adaptive behaviour of financial markets

Xue Zhong He^*

^*Corresponding author for this work

University of Technology Sydney

Research output: Chapter in Book or Report/Conference proceeding › Chapter › peer-review

6 Citations (Scopus)

Abstract

Heterogeneity and interacting among boundedly rational agents have received 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 provide some explanations of certain market behaviour and anomalies. This paper surveys these developments, to 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.

Original language	English
Title of host publication	Global Analysis of Dynamic Models in Economics and Finance
Subtitle of host publication	Essays in Honour of Laura Gardini
Publisher	Springer-Verlag Berlin Heidelberg
Pages	3-34
Number of pages	32
Volume	9783642295034
ISBN (Electronic)	9783642295034
ISBN (Print)	3642295029, 9783642295027
DOIs	https://doi.org/10.1007/978-3-642-29503-4_1
Publication status	Published - 1 Mar 2013
Externally published	Yes

Keywords

Asset pricing
Bounded rationality
Chartists
Disagreement
Fundamentalists
Heterogeneous beliefs
Stability
Stochastic delay differential equations

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10.1007/978-3-642-29503-4_1

Cite this

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Recent developments in asset pricing with heterogeneous beliefs and adaptive behaviour of financial markets. / He, Xue Zhong.
Global Analysis of Dynamic Models in Economics and Finance: Essays in Honour of Laura Gardini. Vol. 9783642295034 Springer-Verlag Berlin Heidelberg, 2013. p. 3-34.

Research output: Chapter in Book or Report/Conference proceeding › Chapter › peer-review

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KW - Disagreement

KW - Fundamentalists

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KW - Stability

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Recent developments in asset pricing with heterogeneous beliefs and adaptive behaviour of financial markets

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Keywords

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