Complex evolutionary systems in behavioral finance
Cars Hommes and
Florian Wagener
No 08-05, CeNDEF Working Papers from Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
Abstract:
Traditional finance is built on the rationality paradigm. This chapter discusses simple models from an alternative approach in which financial markets are viewed as complex evolutionary systems. Agents are boundedly rational and base their investment decisions upon market forecasting heuristics. Prices and beliefs about future prices co-evolve over time with mutual feedback. Strategy choice is driven by evolutionary selection, so that agents tend to adopt strategies that were successful in the past. Calibration of "simple complexity models" with heterogeneous expectations to real financial market data and laboratory experiments with human subjects are also discussed.
Date: 2008
New Economics Papers: this item is included in nep-cba, nep-cbe, nep-evo, nep-exp and nep-pke
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)
Downloads: (external link)
http://cendef.uva.nl/binaries/content/assets/subsi ... ce.pdf?1417182702310 (application/pdf)
Related works:
Working Paper: Complex Evolutionary Systems in Behavioral Finance (2008) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ams:ndfwpp:08-05
Access Statistics for this paper
More papers in CeNDEF Working Papers from Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Dept. of Economics and Econometrics, Universiteit van Amsterdam, Roetersstraat 11, NL - 1018 WB Amsterdam, The Netherlands. Contact information at EDIRC.
Bibliographic data for series maintained by Cees C.G. Diks ().