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Schizophrenic Representative Investors

  • Philip Z. Maymin
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    Representative 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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    File URL: http://arxiv.org/pdf/1004.4592
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    Paper provided by arXiv.org in its series Papers with number 1004.4592.

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    Date of creation: Apr 2010
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    Handle: RePEc:arx:papers:1004.4592
    Contact details of provider: Web page: http://arxiv.org/

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    1. Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2002. "Asset Price Dynamics among Heterogeneous Interacting Agents," Computing in Economics and Finance 2002 222, Society for Computational Economics.
    2. Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011. "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 148-162, January.
    3. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    4. Philip Z. Maymin, 2011. "The minimal model of financial complexity," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1371-1378, February.
    5. Kluger, Brian D. & McBride, Mark E., 2011. "Intraday trading patterns in an intelligent autonomous agent-based stock market," Journal of Economic Behavior & Organization, Elsevier, vol. 79(3), pages 226-245, August.
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