TY - UNPB
T1 - Nonlinear adaptive beliefs and the dynamics of financial markets. The role of the evolutionary fitness measure.
AU - Gaunersdorfer, Andrea
AU - Hommes, Cars H.
PY - 2001
Y1 - 2001
N2 - We introduce a simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical traders. Traders update their beliefs according to past performance and to market conditions. The model generates endogenous price fluctuations and captures some stylized facts observed in real returns data, such as excess volatility, fat tails of returns distributions, volatility clustering, and long memory. We show that the results are quite robust w.r.t. to different choices for the performance measure. (author's abstract)
AB - We introduce a simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical traders. Traders update their beliefs according to past performance and to market conditions. The model generates endogenous price fluctuations and captures some stylized facts observed in real returns data, such as excess volatility, fat tails of returns distributions, volatility clustering, and long memory. We show that the results are quite robust w.r.t. to different choices for the performance measure. (author's abstract)
U2 - 10.57938/88f087ae-6e5f-4b91-8f26-eb5bc37d6e8b
DO - 10.57938/88f087ae-6e5f-4b91-8f26-eb5bc37d6e8b
M3 - WU Working Paper
T3 - Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
BT - Nonlinear adaptive beliefs and the dynamics of financial markets. The role of the evolutionary fitness measure.
PB - SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
CY - Vienna
ER -