Asset Pricing Under Endogenous Expectations in an Artificial Stock Market.

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.

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Year of publication:	1996
Authors:	Arthur, W.B. ; Holland, J.H. ; LeBaron, B. ; Palmer, R. ; Tayler, P.
Institutions:	Wisconsin Madison - Social Systems
Subject:	ASSET PRICING \| STOCK MARKET

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Series:	Working papers.
Type of publication:	Book / Working Paper
Notes:	27 pages
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005795240