Author Miloslav (Vosvrda Academy of Sciencews of the Czech Republic)
Abstract
The heterogeneity of expectations among traders introduces an important non-linearity into the financial markets. In a series of papers, Brock and Hommes, propose to model economic and financial markets as adaptive belief systems. Asset price fluctuations in adaptive belief systems are characterized by phases of close-to-the-fundamental-price fluctuations, phases of optimism where most agents follow an upward price trend, and phases of pessimism with small or large market crashes. In this paper will be discussed the EMH benchmark and forecasting rules of fundamentals and trend extrapolators. Some illustrative examples are supplied.
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Publisher Info
Paper provided by EconWPA in its series Finance with number
0109001.
Length: 7 pages Date of creation: 07 Sep 2001 Date of revision: Handle: RePEc:wpa:wuwpfi:0109001
Note: Type of Document - PDF; prepared on PC; to print on HP; pages: 7; figures: included/request from author/draw your own Contact details of provider: Web page: http://129.3.20.41
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