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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 overcondence 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...
Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets
Incomplete markets market games risk sharing regret dynamical schemes
2010/10/29
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based ...
BeautyContested. How much of Keynes’ remains in Behavioural Economics Beauty Contests?
Beauty Contest Behavioural Economics Keynes Reasoning
2014/6/24
In one ofthe most famous passages of economic literature, John Maynard Keynes (1936, p.156) likens the stock market to a beauty contest in which the winners are those who anticipate the average opinio...