Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10009698080
Heterogeneous agent models for financial markets have provided explanations for many empirical regularities of relatively high frequency (hourly/daily) financial time series. They have been much quieter when it comes to longer range features. This paper examines a simplified computational...
Persistent link: https://www.econbiz.de/10010849934
This paper presents a new agent-based financial market. It is designed to be both simple enough to gain insights into the nature and structure of what is going on at both the agent and macro levels, but remain rich enough to allow for many interesting evolutionary experiments. The model is...
Persistent link: https://www.econbiz.de/10010594602
Evolutionary metaphors have been prominent in both economics and finance. They are often used as basic foundations for rational behavior and efficient markets. Theoretically, a mechanism which selects for rational investors requires many caveats, and is far from generic. This paper tests wealth...
Persistent link: https://www.econbiz.de/10010574908
This paper considers the impact of heterogeneous gain learning in an asset pricing model. A relatively stylized model is shown to generate persistent swings of asset prices from their fundamental values which replicates long range samples of U.S financial data. The detailed mechanisms of the...
Persistent link: https://www.econbiz.de/10008756091
This paper presents a new agent-based financial market. It is designed to be both simple enough to gain insights into the nature and structure of what is going on at both the agent and macro levels, but remain rich enough to allow for many interesting evolutionary experiments. The model is...
Persistent link: https://www.econbiz.de/10008838767