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Asset Pricing Under Endogenous Expectations in an Artificial Stock Market

Author

Listed:
  • Arthur, W.B.
  • Holland, J.H.
  • LeBaron, B.
  • Palmer, R.
  • Tayler, P.

Abstract

We propose a theory of asset pricing based on heterogeneous agents who continually adapt their expectations to the market that these expectations aggregatively create. And we explore the implications of this theory computationally using our Santa Fe artificial stock market.

Suggested Citation

  • Arthur, W.B. & Holland, J.H. & LeBaron, B. & Palmer, R. & Tayler, P., 1996. "Asset Pricing Under Endogenous Expectations in an Artificial Stock Market," Working papers 9625, Wisconsin Madison - Social Systems.
  • Handle: RePEc:att:wimass:9625
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    ASSET PRICING; STOCK MARKET;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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