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

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dc.contributor.author Chiarella, Carl en_US
dc.contributor.author He, Xuezhong en_US
dc.contributor.editor Seese, D; Weinhardt, C; Schlottmann, F en_US
dc.date.accessioned 2010-06-16T04:56:26Z
dc.date.available 2010-06-16T04:56:26Z
dc.date.issued 2008 en_US
dc.identifier 2007003004 en_US
dc.identifier.citation Chiarella Carl and He Xuezhong 2008, 'An adaptive model of asset price and wealth dynamics in a market with heterogeneous trading strategies', in http://dx.doi.org/10.1007/978-3-540-49487-4_20 (ed.), Springer, Germany, pp. 465-499. en_US
dc.identifier.issn 9783540494867 en_US
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 en_US
dc.language en_US
dc.publisher Springer en_US
dc.relation.hasversion Accepted manuscript version
dc.relation.isbasedon http://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.parent Handbook on Information Technology in Finance en_US
dc.journal.volume en_US
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 140300 en_US
dc.personcode 716350 en_US
dc.personcode 010238 en_US
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
dc.staffid en_US
dc.staffid 010238 en_US


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