We explore the issue of estimating a simple agent-based model of price formation in an asset market using the approach of Alfarano et al. (2008) as an example. Since we are able to derive various moment conditions for this model, we can apply generalized method of moments (GMM) estimation. We...

Concentrating on speculative flow rather than stock demand, the paper puts forward a deterministic continuous-time model of the equity market that is compatible with a growing and inflationary economy. Instead of the systematically rising equity price, the central state variable in now Tobin's...