A game is unprofitable if equilibrium payoffs do not exceed the maximin payoff for each player. In an unprofitable game, Nash equilibrium play has been notoriously difficult to justify. For some simple examples we analyze whether evolutionary and learning processes lead to Nash play

...Traders update their beliefs according to past performance and to market conditions. The model generates endogenous price fluctuations and captures some stylized facts observed in real returns data, such as excess volatility, fat tails of returns distributions, volatility clustering, and long...

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...

A simple nonlinear structural model of endogenous belief heterogeneity is proposed. News about fundamentals is an IID random process, but nevertheless volatility clustering occurs as an endogenous phenomenon caused by the interaction between different types of traders, fundamentalists and...

A simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical analysts, is studied. Fractions of these trader types, which are both boundedly rational, change over time according to evolutionary learning, with technical analysts conditioning their...

Aufbauend auf einem klassischen Finanzmarktmodell behandeln wir drei Modellvarianten, die jeweils einen anderen Ansatz der (heterogenen) Erwartungsbildung von Investoren über künftige Wertpapierpreise in den Vordergrund der Betrachtungen rücken: das Konzept der konsistenten Erwartungen, das...

This paper presents a dynamic asset pricing model based on a heterogenous class of traders.

A simple asset pricing model with two types of adaptively learning traders,fundamentalists and technical analysts, is studied. Fractions of these tradertypes, which are both boundedly rational, change over time according toevolutionary learning, with technical analysts conditioning their...