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- CARL CHIARELLA
- 2001

In order to characterize asset price and wealth dynamics arising from the interaction of heterogeneous agents with CRRA utility, a discrete time stationary model in terms of return and wealth proportions (among different types of agents) is established. When fundamentalists and chartists are the main heterogeneous agents in the model, it is found that in… (More)

- Toichiro Asada, Carl Chiarella, Peter Flaschel, Tarik Mouakil, Christian R. Proaño, Willi Semmler
- 2010

In the last months, the world's economies were confronted with the largest economic recession since the Great Depression. The occurrence of a worldwide financial market meltdown as a consequence originally stemming from of the crisis in the US subprime housing sector was only prevented by extraordinary monetary and fiscal policy measures implemented at the… (More)

In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morton [HJM92] term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations. These transformations generalise the Markovian systems obtained by Carverhill [Car94], Ritchken and… (More)

- CARL CHIARELLA, KANG KWON
- 1999

Although the HJM term structure model is widely accepted as the most general, and perhaps the most consistent, framework under which to study interest rate derivatives, the earlier models of Vasicek, Cox-Ingersoll-Ross, Hull-White, and Black-Karasinski remain popular among both academics and practitioners. It is often stated that these models are special… (More)

- CARL CHIARELLA
- 2002

This paper develops an adaptive model on asset pricing and wealth dynamic of a financial market with heterogeneous agents and examines the profitability of momentum and contrarian trading strategies. In order to characterize asset price, wealth dynamics and rational adaptiveness arising from the interaction of heterogeneous agents with CRRA utility, an… (More)

This paper will build on earlier work of Chiarella, He and Hommes (2006) (CHH) who investigate the stabilising and destabilising impact on financial markets of the commonly used moving average rules. The model of CHH relied on a market maker mechanism to clear the market. Here we shall consider a continuous double auction as the market clearing mechanism.… (More)

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 (1993), and by a Poisson jump process as introduced by Merton (1976). Probability arguments are invoked to find a representation of the solution in terms of expectations… (More)

In this paper we study a model of a quantity-setting duopoly market where firms lack knowledge of the market demand. Using a misspecified demand function firms determine their profit-maximizing choices of their corresponding perceived market game. For illustrative purposes we assume that the (true) demand function is linear and that the reaction functions… (More)

This paper studies a class of models in which agents' expectations influence the actual dynamics while the expectations themselves are the outcome of some recursive processes with bounded memory. Under the assumptions of heterogeneous expectations (or beliefs) and that the agents update their expectations by recursive Land general a L-processes, the… (More)