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Heterogeneous gain learning and the dynamics of asset prices

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  • LeBaron, Blake

Abstract

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 driven by heterogeneous agents who put varying weights on past information as they design portfolio strategies. It faithfully generates many of the common stylized features of asset markets. It also yields some insights into the dynamics of agent strategies and how they lead to market instabilities.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Behavior & Organization.

Volume (Year): 83 (2012)
Issue (Month): 3 ()
Pages: 424-445

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Handle: RePEc:eee:jeborg:v:83:y:2012:i:3:p:424-445

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Web page: http://www.elsevier.com/locate/jebo

Related research

Keywords: Learning; Asset pricing; Financial time series; Evolution; Memory;

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References

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Citations

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Cited by:
  1. Andreas Fuster & Benjamin Hebert & David Laibson, 2011. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Working Papers 17301, National Bureau of Economic Research, Inc.
  2. Pyo, Dong-Jin, 2014. "A Multi-Factor Model of Heterogeneous Traders in a Dynamic Stock Market," Staff General Research Papers 37358, Iowa State University, Department of Economics.
  3. Saroj Bhattara & Gauti Eggertsson & Raphael Schoenle, 2012. "Is Increased Price Flexibility Stabilizing? Redux," Working Papers 41, Brandeis University, Department of Economics and International Businesss School.
  4. Mark Setterfield & Bill Gibson, 2013. "Real and financial crises," Working Papers 1309, Trinity College, Department of Economics, revised Sep 2013.
  5. repec:ros:wpaper:124 is not listed on IDEAS
  6. Neuberger, Doris & Rissi, Roger, 2012. "Macroprudential banking regulation: Does one size fit all?," Thuenen-Series of Applied Economic Theory 124, University of Rostock, Institute of Economics.
  7. Blake LeBaron, 2011. "Active and Passive Learning in Agent-based Financial Markets," Eastern Economic Journal, Palgrave Macmillan, vol. 37(1), pages 35-43.

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