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...

This paper presents a continuous-time model of exchange rates relying not only on macroeconomic factors but also having a market microstructure component. The driving macroeconomic factor is the interest rate differential, while the market microstructure element is described by the expectations...

When agents agree to disagree about the expected growth rate of the aggregate endowment process, we study the asset price dynamics under “Keeping up with the Joneses” (KUJ) meaning that each agent maximizes the expected life-time CRRA utility of his relative consumption to the other agent in...