Handbook of Financial Markets: Dynamics and Evolution

Chapter 3. Stochastic Behavioral Asset-Pricing Models and the Stylized Facts

1. Introduction 162
2. The Stylized Facts of Financial Data 64
   1. Martingales, Lack of Predictability, and Informational Efficiency 164
   2. Fat Tails of Asset Returns 167
   3. Volatility Clustering and Dependency in Higher Moments 173
   4. Other Stylized Facts 174
3. The Stylized Facts as “Scaling Laws” 175
4. Behavioral Asset-Pricing Models with Interacting Agents 178
   1. Interaction of Chartists and Fundamentalists and Nonlinear Dynamics of Asset Prices 179
   2. Kirman's Model of Opinion Formation and Speculation 185
   3. Beyond Local Interactions: Socioeconomic Group Dynamics in Financial Markets 191
   4. Lattice Topologies of Agents' Connections 207
5. Conclusion 210
6. References 211 Note: I am grateful to Maren ...