Adaptive Erwartungsbildung und Finanzmarktdynamik

Thomas Dangl, Engelbert Dockner, Andrea Gaunersdorfer, Alexander Pfister, Leopold Sögner and Günter Strobl
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Thomas Dangl: Universität Wien
Andrea Gaunersdorfer: Universität Wien
Alexander Pfister: Wirtschaftsuniversität Wien
Leopold Sögner: Wirtschaftsuniversität Wien

Schmalenbach Journal of Business Research, 2001, vol. 53, issue 4, 339-365

Abstract: Summary Based on a classical financial market model we discuss three model variants, each focusing on a different approach in the formation of (heterogeneous) beliefs about future asset prices: the concept of Consistent Expectations, the concept of Adaptive Belief Systems, and artificial financial markets, where beliefs (or expectations) are formed by Classifier Systems. We analyze the consequences of these different mechanisms of expectations formation on the equilibrium dynamics of asset prices and compare statistical properties of returns generated by these models with the characteristics of real world time series.

Keywords: D84 (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1007/BF03372651

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