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)
|Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
- Report Series SFB \Adaptive Information Systems and Modelling in Economics and Management Science\