Xue Zhong He
Heterogeneity, convergence, and autocorrelations
He, Xue Zhong; Li, Youwei
Abstract
This paper is a contribution to the literature on the explanatory power and calibration of heterogeneous asset pricing models. We set out a new stochastic market-fraction asset pricing model of fundamentalists and trend followers under a market maker. Our model explains key features of financial market behaviour such as market dominance, convergence to the fundamental price and under- and over-reaction. We use the dynamics of the underlying deterministic system to characterize these features and statistical properties, including convergence of the limiting distribution and autocorrelation structure. We confirm these properties using Monte Carlo simulations.
Citation
He, X. Z., & Li, Y. (2008). Heterogeneity, convergence, and autocorrelations. Quantitative finance, 8(1), 59-79. https://doi.org/10.1080/14697680601159500
Journal Article Type | Article |
---|---|
Acceptance Date | Dec 7, 2006 |
Online Publication Date | Dec 14, 2007 |
Publication Date | 2008-02 |
Deposit Date | Mar 19, 2019 |
Journal | Quantitative Finance |
Print ISSN | 1469-7688 |
Publisher | Routledge |
Peer Reviewed | Peer Reviewed |
Volume | 8 |
Issue | 1 |
Pages | 59-79 |
DOI | https://doi.org/10.1080/14697680601159500 |
Keywords | Asset pricing; Heterogeneous beliefs; Market fraction; Stability; Bifurcation; Market behaviour; Limiting distribution; Autocorrelation |
Public URL | https://hull-repository.worktribe.com/output/1113550 |
Publisher URL | https://www.tandfonline.com/doi/full/10.1080/14697680601159500 |
You might also like
Future of jobs in China under the impact of artificial intelligence
(2023)
Journal Article
The smog that hovers: Air pollution and asset prices
(2023)
Journal Article
The Asymmetric Overnight Return Anomaly in the Chinese Stock Market
(2022)
Journal Article
Competition or Authorization—Manufacturers’ Choice of Remanufacturing Strategies
(2022)
Journal Article
Downloadable Citations
About Repository@Hull
Administrator e-mail: repository@hull.ac.uk
This application uses the following open-source libraries:
SheetJS Community Edition
Apache License Version 2.0 (http://www.apache.org/licenses/)
PDF.js
Apache License Version 2.0 (http://www.apache.org/licenses/)
Font Awesome
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search