Schizophrenic Representative Investors
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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- 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.
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- 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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