Rational expectations, psychology and inductive learning via moving thresholds

H. Lamba and T. Seaman

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 15, 3904-3909

Abstract: This paper modifies a previously introduced class of heterogeneous agent models in a way that allows for the inclusion of different types of agent motivations and behaviours in a consistent manner. The agents operate within a highly simplified environment where they are only able to be long or short one unit of the asset. The price of the asset is influenced by both an external information stream and the demand of the agents. The current strategy of each agent is defined by a pair of moving thresholds straddling the current price. When the price crosses either of the thresholds for a particular agent, that agent switches position and a new pair of thresholds is generated.

Keywords: Heterogeneous agents; Stylized facts; Behavioural economics (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:15:p:3904-3909

DOI: 10.1016/j.physa.2008.01.061

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