Asset price dynamics with heterogeneous beliefs and local network interactions

@inproceedings{Panchenko2013AssetPD,
  title={Asset price dynamics with heterogeneous beliefs and local network interactions},
  author={Valentyn Panchenko and Sergiy Gerasymchuk and Oleg V. Pavlov},
  year={2013}
}
This paper investigates the effects of network structures on asset price dynamics. We introduce network communication structures into a simple present value discounted asset pricing model with heterogeneous expectations. Every period the agents choose a predictor of the future price based on the past performance of their own and alternative predictors if they are observed and determine their demand for a risky asset. The information about the performance of alternative predictors ∗We thank the… CONTINUE READING