This paper contributes to the development of recent literature on the explanation power and calibration issue of heterogeneous asset pricing models by presenting a simple stochastic market fraction asset pricing model of two types of traders (fundamentalists and trend followers) under a market...

Long-range dependence in volatility is one of the most prominent examples of applications in financial market research involving universal power laws. Its characterization has recently spurred attempts at theoretical explanation of the underlying mechanism. This paper contributes to this recent...

This paper studies how to compare different microscopic simulation (MS) models and how to compare a MS model with real world. The parameters of interest are classified and characterized, various econometric methods are applied for the comparison. We illustrate the methodolgy on testing of the...