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Fundamentalists vs. chartists: learning and predictor choice dynamics

Michele Berardi ()

Centre for Growth and Business Cycle Research Discussion Paper Series from Economics, The University of Manchester

Abstract: In a simple, forward looking univariate model of price determination we investigate the evolution of endogenous predictor choice dynamics in presence of two types of agents: fundamentalists an chartists. We find that heterogeneous equilibria in which fundamentalists and chartists coexist are possible, even when the fraction of agents is endogenized. We then combine evolutionary selection among heterogeneous classes of models with adaptive learning in the form of parameter updating within each class of rules and find that equilibria in which chartists constantly outperform fundamentalists seem never to be learnable. Simulations also show that, in general, interactions between learning and predictor choice dynamics do not prevent convergence of both processes towards their equilibrium values when the equilibrium is E-stable.

Pages: 23 pages
Date: 2008
New Economics Papers: this item is included in nep-cba and nep-evo
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Related works:
Journal Article: Fundamentalists vs. chartists: Learning and predictor choice dynamics (2011) Downloads
Working Paper: Fundamentalists vs. chartists: Learning and predictor choice dynamics (2011) Downloads
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