From standard to evolutionary finance: A literature survey
T Holtfort - Management Review Quarterly, 2019 - Springer
The traditional financial paradigm seeks to understand financial markets by using models in
which markets are perfect, which includes agents who are “rational” and update their beliefs …
which markets are perfect, which includes agents who are “rational” and update their beliefs …
Empirical properties of a heterogeneous agent model in large dimensions
G Coqueret - Journal of Economic Dynamics and Control, 2017 - Elsevier
We introduce a variant of the Adaptive Beliefs System (ABS) of Brock and Hommes (1998)
based on returns instead of prices. Agents form their demands according to the degree to …
based on returns instead of prices. Agents form their demands according to the degree to …
Procedural rationality, asset heterogeneity and market selection
G Coqueret, B Tavin - Journal of Mathematical Economics, 2019 - Elsevier
We extend the agent-based model of Anufriev and Bottazzi (2010) to the case with many
risky assets. We show that under the procedural equilibrium, all assets with nonzero …
risky assets. We show that under the procedural equilibrium, all assets with nonzero …
Risk-neutral pricing in a behavioural framework
A Lazos - 2017 - repository.essex.ac.uk
This thesis investigates three issues related to risk-neutral pricing. The first aspect
investigated is the effect of discretization and truncation errors on risk-neutral moments, as …
investigated is the effect of discretization and truncation errors on risk-neutral moments, as …
Investor heterogeneity, sentiment, and skewness preference in options market
This paper builds upon and extends Bali and Murray (2013) to investigate skewness
preferences when investors with heterogeneous expectations hold long skewness positions …
preferences when investors with heterogeneous expectations hold long skewness positions …