Adaptive beliefs and the volatility of asset prices

I present a simple model of an evolutionary financial market with heterogeneous agents, based on the concept of adaptive belief systems introduced by Brock and Hommes (1997a). Agents choose between different forecast rules based on past performance, resulting in an evolutionary dynamics across predictor choice coupled to the equilibrium dynamics.

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Year of publication:	2000-09-07
Authors:	Gaunersdorfer, Andrea
Institutions:	Wirtschaftsuniversität <Wien>
Subject:	Kapitalmarkt \| Eingeschränkte Rationalität \| Preisänderung \| declining price anomaly \| Adaptive Erwartung

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Extent:	937984 bytes 32 p. application/pdf
Series:	Wirtschaftsuniversität Wien - Forschungsbezogene elektronische Publikationen Working Papers SFB Adaptive Information Systems and Modelling in Economics and Management Science ; 74
Type of publication:	Book / Working Paper
Language:	English
Classification:	Equity financing ; Empirical research. of corporate finance and investment policy ; Individual Working Papers, Preprints ; Germany. General Resources ; Austria. General Resources ; United Kingdom
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005841639