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Heterogeneous gain learning and the dynamics of asset prices

Listed author(s):
  • LeBaron, Blake

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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File URL: http://www.sciencedirect.com/science/article/pii/S0167268112000546
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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
DOI: 10.1016/j.jebo.2012.03.003
Contact details of provider: Web page: http://www.elsevier.com/locate/jebo

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