Heterogeneous agent models in financial markets: A nonlinear dynamics approach
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DOI: 10.1016/j.irfa.2018.11.016
Abstract: Studies on financial markets have accumulated consistent evidences of stylized facts and anomalies, which can be characterized by stochastic switching among different co-existing market states but yet difficult to reconcile with traditionally rational expectation theory.… read more here.
Keywords: facts anomalies; financial markets; stylized facts; dynamics approach ... See more keywords