We propose a theory of asset pricing based on heterogeneous agents who continually adapt their expectations to the market that these expectations aggregatively create. And we explore the implications of this theory computationally using our Santa Fe artificial stock market. Asset markets, we...

A market of artificially intelligent traders is constructed to buy and sell a risky asset along with a risk free bond. Prices of the risky asset are determined endogenously from the interactions of the strategies which make trades and gather data. Each trader tries to learn about the world...