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Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
heterogeneous agent model behavioural nance herding overcon dence market sentiment stock market crash
2012/6/5
The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. In particular, we analyse the dynam...
Credit Risk, Market Sentiment and Randomly-Timed Default
Credit Risk Market Sentiment Randomly-Timed Default
2010/10/20
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed t...