Estimation of an Adaptive Stock Market Model with Heterogeneous Agents

Henrik Amilon

No 107, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: Standard economic models based on rational expectations and homogeneity have problems to explain the complex and volitile nature of financial markets. Recently, boundedly rational and heterogeneous agents models have been developed, and simulated returns are found to exhibit various stylized facts, such as volatility clustering and fat tails. Here, we estimate a simple version of such a model by the use of efficient method of moments, and compare the results to real data and traditional econometric models. We find that the model generates returns with properties similar to observed data, but that the fit generally is poor.

Keywords: efficient method of moments; heterogeneous expectations; bounded rationality; evolutionary dynamics; adaptive beliefs (search for similar items in EconPapers)
JEL-codes: C13 C15 C32 C51 (search for similar items in EconPapers)
Pages: 58 pages
Date: 2003-09-01
New Economics Papers: this item is included in nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published as: Amilon, H., 2008, "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents", Journal of Empirical Finance, 15(2), 342-362.

Downloads: (external link)
http://www.qfrc.uts.edu.au/research/research_papers/rp107.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.qfrc.uts.edu.au/research/research_papers/rp107.pdf [301 Moved Permanently]--> http://www.uts.edu.au/node/51831 [301 Moved Permanently]--> https://www.uts.edu.au/node/51831)

Related works:
Journal Article: Estimation of an adaptive stock market model with heterogeneous agents (2008)
Working Paper: Estimation of an Adaptive Stock Market Model with Heterogeneous Agents (2005)
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:uts:rpaper:107

Access Statistics for this paper

More papers in Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().