Asset Pricing Under Endogenous Expectations in an Artificial Stock Market

W.B. Arthur, J.H. Holland, Blake Lebaron (), R. Palmer and P. Tayler

Working papers from Wisconsin Madison - Social Systems

Abstract: We propose a theory of asset pricing based on heterogeneous agents who continually adapt their expectations to the market that these expectations aggregatively create. And we explore the implications of this theory computationally using our Santa Fe artificial stock market.

Keywords: ASSET PRICING; STOCK MARKET (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Pages: 27 pages
Date: 1996
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Citations: View citations in EconPapers (54)

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Working Paper: Asset Pricing Under Endogenous Expectation in an Artificial Stock Market (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:att:wimass:9625

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