@inproceedings{9edc143853924ae9b283b7de6b1425bc,
title = "Statistical properties of a heterogeneous asset pricing model with time-varying second moment",
abstract = "Stability and bifurcation analysis of deterministic systems has been widely used in modeling financial markets. However, the impact of such dynamic phenomena on various statistical properties of the corresponding stochastic model, including skewness and excess kurtosis, various autocorrelation (AC) patterns of under and over reactions, and volatility clustering characterised by the long-range dependence of ACs, is not clear and has been very little studied. This paper aims to contribute to this issue. Through a simple behavioural asset pricing model with fundamentalists and chartists, we examine the statistical properties of the model and their connection to the dynamics of the underlying deterministic model. In particular, our analysis leads to some insights into various mechanisms that may generate some of the stylised facts, such as fat tails, skewness, high kurtosis and long memory, observed in high frequency financial data.",
keywords = "Bifurcation, Chartists, Fundamentalists, Investors' under-and over-reactions, Stability, Stylized facts",
author = "Carl Chiarella and He, {Xue Zhong} and Duo Wang",
year = "2006",
doi = "10.1007/3-540-28727-2_7",
language = "English",
isbn = "9783540287261",
series = "Lecture Notes in Economics and Mathematical Systems",
pages = "109--124",
editor = "Akira Namatame and Taisie Kaizouji and Yuuji Aruka",
booktitle = "The Complex Networks of Economic Interactions",
}