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Heterogeneous Gain Learning and the Dynamics of Asset Prices

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  • Blake LeBaron

    ()
    (International Business School, Brandeis University)

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 yield market instabilities.

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File URL: http://www.brandeis.edu/departments/economics/RePEc/brd/doc/Brandeis_WP29.pdf
File Function: Revised version, 2010
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Bibliographic Info

Paper provided by Brandeis University, Department of Economics and International Businesss School in its series Working Papers with number 29.

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Length: 49 pages
Date of creation: Jun 2010
Date of revision: Dec 2010
Handle: RePEc:brd:wpaper:29

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Postal: MS032, P.O. Box 9110, Waltham, MA 02454-9110
Web page: http://www.brandeis.edu/departments/economics/
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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. Raphael Schoenle & Gauti Eggertsson & Saroj Bhattarai, 2012. "Is Increased Price Flexibility Stabilizing? Redux," 2012 Meeting Papers 487, Society for Economic Dynamics.
  2. Doris Neuberger & Roger Rissi, 2014. "Macroprudential Banking Regulation: Does One Size Fit All?," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(1), pages 5-28, May.
  3. 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.
  4. Blake LeBaron, 2011. "Active and Passive Learning in Agent-based Financial Markets," Eastern Economic Journal, Palgrave Macmillan, vol. 37(1), pages 35-43.
  5. Andreas Fuster & Benjamin Hebert & David Laibson, 2011. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 1-48 National Bureau of Economic Research, Inc.
  6. 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.
  7. Mark Setterfield & Bill Gibson, 2013. "Real and financial crises: A multi-agent approach," Working Papers 1309, Trinity College, Department of Economics, revised Jul 2014.

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