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Nonlinear adaptive beliefs and the dynamics of financial markets. The role of the evolutionary fitness measure.

Gaunersdorfer, Andrea and Hommes, Cars H. (2001) Nonlinear adaptive beliefs and the dynamics of financial markets. The role of the evolutionary fitness measure. Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science", 60. SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, Vienna.

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Abstract

We introduce a simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical traders. Traders update their beliefs according to past performance and to market conditions. The model generates endogenous price fluctuations and captures some stylized facts observed in real returns data, such as excess volatility, fat tails of returns distributions, volatility clustering, and long memory. We show that the results are quite robust w.r.t. to different choices for the performance measure. (author's abstract)

Item Type: Paper
Keywords: Capital-asset-pricing-Modell / rationale Erwartung / Gleichgewichtsmodell
Divisions: Departments > Informationsverarbeitung u Prozessmanag. > Produktionsmanagement > Taudes
Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Departments > Marketing > Service Marketing und Tourismus
Departments > Informationsverarbeitung u Prozessmanag. > Informationswirtschaft
Depositing User: Repository Administrator
Date Deposited: 08 Mar 2002 14:13
Last Modified: 15 Sep 2010 00:04
URI: http://epub.wu.ac.at/id/eprint/434

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