Heterogeneous Beliefs in an Asset Pricing Model with ：异质信念的资产定价模型_推荐.pdfVIP

Introduction Heterogeneous Beliefs Model Dynamics of the Model Extensions Conclusion Heterogeneous Beliefs in an Asset Pricing Model with Endogenous Fundamentals Mikhail Anufriev Economics Discipline Group University of Technology, Sydney Nonlinear Economic Dynamics conference Siena, 4 – 6 July 2013 Mikhail Anufriev EDG, University of Technology, Sydney Heterogeneous Beliefs in an Asset Pricing Model with Endogenous Fundamentals Introduction Heterogeneous Beliefs Model Dynamics of the Model Extensions Conclusion Introduction Heterogeneous Agent Models of financial markets co-existence of different trading strategies (fundamentalists and chartists, trend-followers) in financial markets reproduce several stylized facts of financial markets generate endogenous booms and busts, i.e., persistent deviations of price from the fundamental price feedback from the relative success of trend-following strategy to price dynamics Idea of this paper: introduce an additional feedback: from past market volatility to the fundamental price market crushes can be very severe, they can be followed by long undervaluation of the assets Mikhail Anufriev EDG, University of Technology, Sydney Heterogeneous Beliefs in an Asset Pricing Model with Endogenous Fundamentals Introduction Heterogeneous Beliefs Model Dynamics of the Model Extensions Conclusion Introduction Heterogeneous Agent Models of financial markets co-existence of different