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ICANN
2001
Springer

Nonlinear Adaptive Beliefs and the Dynamics of Financial Markets: The Role of the Evolutionary Fitness Measure

11 years 5 months ago
Nonlinear Adaptive Beliefs and the Dynamics of Financial Markets: The Role of the Evolutionary Fitness Measure
We introduce a simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical traders. Traders update their beliefs according to past performance and to market conditions. The model generates endogenous price uctuations and captures some stylized facts observed in real returns data, such as excess volatility, fat tails of returns distributions, volatility clustering, and long memory. We show that the results are quite robust w.r.t. to di erent choices for the performance measure.
Andrea Gaunersdorfer, Cars H. Hommes
Added 29 Jul 2010
Updated 29 Jul 2010
Type Conference
Year 2001
Where ICANN
Authors Andrea Gaunersdorfer, Cars H. Hommes
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