An Adaptive Model of Asset Price and Wealth Dynamics in a Market with Heterogeneous Trading Strategies
作者： Carl Chiarella , Xue-Zhong He
DOI: 10.1007/978-3-540-49487-4_20
关键词: Economics 、 Trading strategy 、 Arbitrage pricing theory 、 Market liquidity 、 Representative agent 、 Algorithmic trading 、 Alternative asset 、 Capital asset pricing model 、 Financial economics 、 Asset (economics)
摘要: The traditional asset-pricing models – such as the capital asset pricing model (CAPM) of [42] and [34], arbitrage theory (APT) [40], or intertemporal (ICAPM) [38] have one their important assumptions, investor homogeneity. In particular paradigm representative agent assumes that all agents are homogeneous with regard to preferences, expectations investment strategies.1 However, already argued by Keynes in 1930s, do not sufficient knowledge structure economy form correct mathematical would be held agents.
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