In the deterministic context a series of well established results allow to reformulate delay differential equations (DDEs) as evolution equations in infinite dimensional spaces. Several models in the theoretical economic literature have been studied using this reformulation. On the other hand,...

We propose a continuous-time heterogeneous agent model consisting of fundamental, momentum, and contrarian traders to explain the significant time series momentum. We show that the market under-reacts in short-run and overreacts in long-run when momentum traders dominate the market, which...

In the deterministic context a series of well established results allow to reformu- late delay differential equations (DDEs) as evolution equations in infinite dimensional spaces. Several models in the theoretical economic literature have been studied using this reformulation. On the other hand,...

We introduce a heterogeneous agent asset pricing model in continuoustime to show that trend chasing, switching and herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On the one hand, the fluctuations of market price and...

Heterogeneity and interacting among boundedly rational agents have received an increasing attention in the finance and economics literature. Recent developments on the role of heterogeneous beliefs on asset pricing and the adaptive behaviour of financial markets shed light into the complex...

Within a continuous-time framework, this paper proposes a stochastic heterogeneous agent model (HAM) of financial markets with time delays to unify various moving average rules used indiscrete-time HAMs. The time delay represents a memory length of a moving average rule indiscrete-time...