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Heterogeneous Agents and Long Horizon Features of Asset Prices

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  • Blake LeBaron

    (Economics Department, Brandeis University)

Abstract

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.

Suggested Citation

  • Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
    • Handle: RePEc:brd:wpaper:63
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    File URL: http://www.brandeis.edu/economics/RePEc/brd/doc/Brandeis_WP63.pdf
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    References listed on IDEAS

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    Cited by:

    1. Blake LeBaron, 2021. "Microconsistency in Simple Empirical Agent-Based Financial Models," Computational Economics, Springer;Society for Computational Economics, vol. 58(1), pages 83-101, June.

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