We develop a behavioral commodity market model with consumers, producers andheterogeneous speculators to characterize-tile-nature of commodity price fluctuations and toexplore the effectiveness of price stabilization schemes. Within our model, we analyze hownonlinear interactions between market...

The selected papers collected in this special issue were presented at the “Interacting agents and nonlinear dynamics in macroeconomics” workshop organized by Marji Lines , Sebastiano Manzan, and Frank Westerhoff which was held at the University of Udine, Udine (Italy), on June 9-11, 2010....

The selected papers collected in this special issue were presented at the “Interacting agents and nonlinear dynamics in macroeconomics” workshop organized by Marji Lines , Sebastiano Manzan, and Frank Westerhoff which was held at the University of Udine, Udine (Italy), on June 9-11, 2010....

In this paper, we integrate heterogeneous inflation expectations into a simple monetary model. Guided by empirical evidence, we assume that boundedly rational agents, selecting between extrapolative and regressive forecasting rules to predict the future inflation rate, prefer rules that have...

The use of various moving average (MA) rules remains popular with financial market practitioners. These rules have recently become the focus of a number empirical studies, but there have been very few studies of financial market models where some agents employ technical trading rules of the type...

This chapter surveys the boundedly rational heterogeneous agent (BRHA) models of financial markets, to the development of which the authors and several co-authors have contributed in various papers. We give particular emphasis to role of the market clearing mechanism used, the utility function...

Within the framework of the heterogeneous agent paradigm, we establish a stochastic model of speculative price dynamics involving of two types of agents, fundamentalists and chartists, and the market price equilibria of which can be characterised by the invariant measures of a random dynamical...

Within the standard mean-variance framework, this paper provides a procedure to aggregate the heterogeneous beliefs in not only risk preferences and expected payoffs but also variances/covariances into a market consensus belief. Consequently, an asset equilibrium price under heterogeneous...

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

Following the framework of a one risky - one riskless asset model developed by Brock and Hommes (1998), this paper considers a discrete-time model of a financial market where heterogeneous groups of agents allocate their wealth amongst multiple risky assets and a riskless asset. Agents follow...