On The Dynamic Behavior of Prices in Disequilibrium

Positive expectations feedback experiments and number guessing games as models of financial markets

“…In that scenario traders report their demands (2) to a market maker who, like the well-known Walrasian auctioneer, aggregates excess demands and increases (decreases) the price of the risky asset when there is excess demand (supply) for the risky asset (see e.g. Beja and Goldman, 1980). That is, prices change according to…”

Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model

“…The main contribution of the present work, then, consists in a direct estimation of the underlying parameters of the model using a parametric approach. Our traders are also divided into the groups of fundamentalists and noise traders following the legacy of Beja and Goldman [4], as well as many other authors. Like in [12] the interaction among the traders is based on a variant of the herding mechanism introduced by Kirman, but this herding mechanism is embedded into a simpler framework for the market dynamics which allows to derive a closed-form solution for the distribution of returns.…”

Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence

“…Almost parallel to that, boundedly rational heterogeneous agents models (BRHA models, or HAM) were developed. This heterogeneous agents theory, originally founded by Zeeman (1974), Beja and Goldman (1980), and Frankel and Froot (1987) and further developed by, among others, Hommes (1997, 1998), Day and Huang (1990), Chiarella (1992), and De Grauwe et al (1993, rejects the idea that investors behave rationally.…”

“…Since this is bound to lead to different price dynamics than would occur under the efficient markets hypothesis they propose an alternative theory. In line with Zeeman (1974), Beja and Goldman (1980) assume a mechanism where the speed of price changes and the speed of demand changes are not in line. Furthermore, they propose a market which consists of fundamental demand (based on expectations of future equilibrium prices) and speculative demand (based on the state of the market).…”

“…Another important contribution came from Beja and Goldman (1980). According to them it is obvious that a man-made market where people interact and respond to each other cannot be fully efficient.…”