Learning from experience in the stock market

Anton Nakov
Authors registered in the RePEc Author Service: Galo Nuño Barrau

No 2012-41, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We study the dynamics of a Lucas-tree model with finitely lived individuals who \"learn from experience.\" Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic fluctuations around the rational expectations equilibrium. This heterogeneous-agents economy can be approximated by a representative-agent model with constant-gain learning, where the gain parameter is related to the survival rate.

Date: 2012
New Economics Papers: this item is included in nep-dge
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Related works:
Journal Article: Learning from experience in the stock market (2015)
Working Paper: Learning from Experience in the Stock Market (2014)
Working Paper: Learning from experience in the stock market (2011)
Working Paper: Learning from experience in the stock market (2011)
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