The traditional financial paradigm seeks to understand financial markets by using models in
which markets are perfect, which includes agents who are “rational” and update their beliefs …

This paper proposes a general computational framework for empirical estimation of financial
agent-based models, for which criterion functions have unknown analytical form. For this …

We estimate a behavioural heterogeneous agents model with boundedly rational traders
who know the fundamental stock price, but disagree about the persistence of deviations from …

The vector autoregressive approach for testing present value models is applied to a
heterogeneous-agent asset pricing model using historical observations of the S&P 500 …

In order to study the expectation formation of financial institutions in the foreign exchange
market we develop and apply a recursive selection and estimation algorithm to a dataset of …

The increase in the price of gold between 2002 and 2011 appears to be a candidate for a
potential asset price 'bubble', suggesting that chartists (feedback traders) were highly active …

Instead of heuristical heterogeneity assumption in the current heterogeneous agent models
(HAMs), we derive the trading heterogeneity by introducing information uncertainty about the …

Several agent-based theoretical models demonstrate that the fundamental or trend-following
predictor, or the dynamic predictor selection between them, is the main generator of price …

The paper provides a framework for theorising the role of house price cycles in national
growth models. We synthesise Minskyan approaches with comparative political economy …

This paper proposes an empirical test for Minskyan financial cycles in asset prices, driven by
the interaction of fundamentalist and momentum traders. Both agents' beliefs about the …