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Tesi etd-09182015-090412


Thesis type
Tesi di laurea magistrale
Author
CARAVAGGIO, ANDREA
URN
etd-09182015-090412
Title
Heterogeneous expectations and asset pricing models: The dynamical systems approach
Struttura
ECONOMIA E MANAGEMENT
Corso di studi
ECONOMICS
Commissione
relatore Prof. Sodini, Mauro
Parole chiave
  • Asset Pricing Model
  • Chaos Theory
  • Heterogeneous beliefs
Data inizio appello
05/10/2015;
Consultabilità
completa
Riassunto analitico
The main aim of this work is to analyse asset pricing models with the dynamical system approach. In particular, we assume behavioral rationality and heterogeneous expectations. First, we describe Brock and Hommes paradigm characterized by adaptive beliefs systems in asset pricing models. They showed how, in a financial market with heterogeneous beliefs, instability and chaos may occur. Second, we develop two different models, analysing the evolution of dynamics when more sophisticated agents and expectations are considered. We show that if the heterogeneity degree increases then chaotic dynamics becomes stronger.<br> Furthermore, in the first model we analyse the contrast between fundamentalists and simple chartist believing that price follows a simple trend driven by the linear regression; instead, in the second one we emphasize the application of some technical analysis principles in the construction of chartists behavioural functions.
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