Kukacka, Jiri; Barunik, Jozef - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 23, pp. 5920-5938
The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) [34] framework. Behavioural patterns are injected into an asset pricing framework through the so-called ‘Break Point Date’, which allows...