This paper proposes a novel approach to determine whether mutual funds time the market. The proposed approach builds on a heterogeneous agent model, where investors switch between cash and stocks depending on a certain switching rule. This approach is more flexible, intuitive, and parsimonious...

This paper estimates an Heterogeneous Agent Model (HAM) on currency trader indices to explain the large shifts in profitability in currency styles surrounding the global financial crisis. In the model, fund managers allocate capital conditional on recent performance to a value strategy, a...

This paper is a contribution to the literature on the explanatory power and calibration of heterogeneous asset pricing models. We set out a new stochastic market-fraction asset pricing model of fundamentalists and trend followers under a market maker. Our model explains key features of financial...

This paper considers the problem of pricing American options when the dynamics of the underlying are driven by both stochastic volatility following a square-root process as used by Heston [<italic>Rev. Financial Stud.</italic>, 1993, <bold>6</bold>, 327--343], and by a Poisson jump process as introduced by Merton [<italic>J....</italic>

This paper extends the integral transform approach of McKean [<italic>Ind. Manage. Rev.</italic>, 1965, <bold>6</bold>, 32--39] and Chiarella and Ziogas [<italic>J. Econ. Dyn. Control</italic>, 2005, <bold>29</bold>, 229--263] to the pricing of American options written on more than one underlying asset under the Black and Scholes [<italic>J. Polit. Econ.</italic>, 1973,...</bold>

We introduce an order-driven market model with heterogeneous agents trading via a central order matching mechanism. Traders set bids and asks and post market or limit orders according to exogenously fixed rules. We investigate how different trading strategies may affect the dynamics of price,...