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Heterogeneous Agents and Long Horizon Features of Asset Prices

  • Blake LeBaron


    (Economics Department, Brandeis University)

Heterogeneous agent models for financial markets have provided explanations for many empirical regularities of relatively high frequency (hourly/daily) financial time series. They have been much quieter when it comes to longer range features. This paper examines a simplified computational heterogeneous agent model in the context of various longer range time series properties for equity returns. The model is compared to a specially created long range data set, and is found to perform well in terms of replicating features, and even revealing some aspects of the data that have not been well quantified to date. By matching empirical properties at both short and long horizons this sets a higher standard in terms of validation which this model is able to match.

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Paper provided by Brandeis University, Department of Economics and International Businesss School in its series Working Papers with number 63.

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Length: 48 pages
Date of creation: Jul 2013
Date of revision: Sep 2013
Handle: RePEc:brd:wpaper:63
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