An Evolutionary Approach in Financial Forecasts

Nhat Le ()
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Nhat Le: VNU at HCMC

No 147, Working Papers from Development and Policies Research Center (DEPOCEN), Vietnam

Abstract: We develop an adaptive learning game to rethink efficient markets. We use the stochastically stable state of this game, which is a mixed Nash equilibrium, to form an adaptive expectation model that provides an estimate of the confidence interval for prices on the next day. The estimate is most accurate in the time of bubbles and crises, when rational expectations no longer fully hold.

Pages: 22 pages
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:dpc:wpaper:3112

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