Schizophrenic Representative Investors
AbstractRepresentative investors whose behaviour is modelled by a deterministic finite automaton generate complexity both in the time series of each asset and in the cross-sectional correlation when the rule governing their behaviour is schizophrenic, meaning the investor must hold multiple seemingly contradictory beliefs simultaneously, either by switching between two different rules at each time step, or computing different responses to different assets.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1004.4592.
Date of creation: Apr 2010
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-02 (All new papers)
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