A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market

•A continuous HAM is established with agents identified by the ex-post price expectation and wealth.•The joint evolution equations of stock price and wealth distribution are derived.•A finite number of agent types emerge from the continuum of agents via wealth evolution.•The evolution of stock price experiences period-doubling and chaotic bifurcations.•The model gives volatility-clustering and long-range dependent stock returns in financial market.