We develop a model in which investors can participate in stock, bond and housing markets.
Investors' market entry decisions are subject to herding effects and depend on the markets' …

Trend and Value are pervasive anomalies, common to all financial markets. We address the
problem of their co-existence and interaction within the framework of Heterogeneous Agent …

This paper proposes an asset pricing model featuring extrapolative market participation by
retail investors, who increase participation following high market returns and high new …

The boundedly rational heterogeneous agent literature can be considered to have properly
started with a number of contributions in the early 90s, with the impressive contribution by …

We develop a simple agent-based financial market model in which speculators' market entry
decisions are subject to herding behavior and market risk. In addition, speculators' orders …

We first present a brief review of nonlinear asset-pricing models and contributions in which
such models have been used as benchmarks to evaluate the effectiveness of a number of …

Financial systems present nonlinear dynamics whilst in some conditions chaotic behaviours
emerge, rendering the stability of these systems utterly volatile. In this novel study we …

We provide a full analytical treatment of a multi-asset market model in which speculators
have the choice between two risky and one safe asset. As it turns out, the dynamics of our …

The thesis at hand pursues better understanding of the role of boundedly rational
expectations, agents' heterogeneity and heuristics-based decision making in the macro …

We develop an asset market participation model in which investors base their market entry
decisions on the momentum, value and risk of the market. Despite our behavioral …