Heterogeneous Gain Learning and the Dynamics of Asset Prices

Blake Lebaron (blebaron@brandeis.edu)

No 29, Working Papers from Brandeis University, Department of Economics and International Business School

Abstract: This paper presents a new agent-based financial market. It is designed to be both simple enough to gain insights into the nature and structure of what is going on at both the agent and macro levels, but remain rich enough to allow for many interesting evolutionary experiments. The model is driven by heterogeneous agents who put varying weights on past information as they design portfolio strategies. It faithfully generates many of the common stylized features of asset markets. It also yields some insights into the dynamics of agent strategies and how they yield market instabilities.

Keywords: Learning; Asset Pricing; Financial Time Series; Evolution; Memory (search for similar items in EconPapers)
Pages: 49 pages
Date: 2010-06, Revised 2010-12
New Economics Papers: this item is included in nep-cmp
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Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.brandeis.edu/economics/RePEc/brd/doc/Brandeis_WP29.pdf Revised version, 2010 (application/pdf)

Related works:
Journal Article: Heterogeneous gain learning and the dynamics of asset prices (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:brd:wpaper:29

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