TAILIEUCHUNG - Asset Pricing Under Endogenous Expectations in an Artificial Stock Market

Zhang (2004) designed a multi-index model to determine the effect of industry, country and international factors on asset pricing. Byers and Groth (2000) defined the asset pricing process as a function utility (economic factors) and non-economic (psychic) factors. Clerc and Pfister (2001) posit that monetary policy is capable of influencing asset prices in the long run. Any change in interest rates especially unanticipated change affects growth expectations and the rates for discounting investment future cash flows. Ross’ (1977) APT model which could be taken as a protest of one factor model of CAPM which assumes that asset price depends. | Asset Pricing Under Endogenous Expectations in an Artificial Stock Market by TTT T- A .1 T 1 TT TT 11 1 TH 1 T TA T - 1 1 TA 1 1 TA 1 1 W. Brian Arthur John H. Holland Blake LeBaron Richard Palmer and Paul Tayler Dec 12 1996 A 11 1 -1- J 1 J 1 J 1 Í 1 J T J J J 1 A .1 -1- -1 1 T T 11- - TT 11 1 All authors are affiliated with the Santa Fe Institute where Arthur is Citibank Professor. In addition Holland is Professor of Computer Science and Engineering University of Michigan Ann Arbor LeBaron is Associate Professor of Economics University of Wisconsin Palmer is Professor of Physics Duke University and Tayler is with the Dept. of Computer Science Brunel University London. 2 Asset Pricing Under Endogenous Expectations in an Artificial Stock Market Abstract 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. Asset markets we argue have a recursive nature in that agents expectations are formed on the basis of their anticipations of other agents expectations which precludes expectations being formed by deductive means. Instead traders continually hypothesize continually explore expectational models buy or sell on the basis of those that perform best and confirm or discard these according to their performance. Thus individual beliefs or expectations become endogenous to the market and constantly compete within an ecology of others beliefs or expectations. The ecology of beliefs co-evolves over time. Computer experiments with this endogenous-expectations market explain one of the more striking puzzles in finance that market traders often believe in such concepts as technical trading market psychology and bandwagon effects while academic theorists believe in market efficiency and a lack of speculative opportunities. Both views we show are correct but .

• Đầu tư Chứng khoán
• relationship between
• inherently elastic
• treatments possible
• Wildlife Conservation
• Genome Banking
• Cats Reproductive
• Thesis summary
• The relationship between social network
• Relationship between social network
• Perception of sustainability
• Tourist’s destination decision
• The mediating role of e word of mouth
• The relationship between content marketing and green purchase intention
• The relationship between content marketing
• Green purchase intention
• E Word of Mouth
• Green Purchasing Intention
• P adsorption parameters
• Relationship between soil
• Study on relationship between soil
• Physical makeup according to geological
• Geographical location
• Relationship between ownership
• Employment growth
• Foreign capital firms
• Significant to employment growth
• An empirical study
• Lead lag relationship between spot
• Futures markets in three developing
• South East Asian countries Malaysia
• Lead lag relationship
• Spot and future markets
• Oil price
• Empirical investigation of relationship
• Oil price and inflation
• Enjoying low price
• Relationship between oil price
• Relationship between risk perception
• Subjective well being
• Tourists’ revisit intention
• Culture in the above relationship
• The Relationship Between Tree Adjoining Grammars
• D
• Weir K
• Vijay Shanker
• A
• Joshi
• scientific reports
• model language
• process natural language
• The Relationship Between Chinese Raw Dumpling Quality
• Flour Characteristics of Shandong Winter Wheat Cultivars
• Wheat samples
• Analytical methods
• Raw dumpling preparation
• Raw dumpling sensory evaluation
• Journal of Science and Technology
• Relationship between climatic condition
• Mangrove forest structure
• Northern coast of Vietnam
• Biomass and basal area
• Negative linear relationship
• The Relationship between Dong Son Bronze Jars
• Dong Son Bronze Jars
• Its Counterparts in South China
• Bronze jar in South China
• Cultural owner of Dong Son bronze jar
• Summary of Doctoral thesis
• The relationship between dividend changes and profitability
• Dividend changes and profitability
• Listed companies
• Stock market
• Journal of technology and science education
• The relationship between teacher related factors
• Students attitudes towards secondary school chemistry subject
• Bureti district Kenya
• Secondary school chemistry subject
• Nuclear engineering and technology
• Investigation of the relationship between earthquakes
• Indoor radon concentrations
• Similar spike like patterns
• The US Environmental Protection Agency measurement protocol
• Rural youth
• Management activities
• Relationship between extent
• Rural youths towards
• Management activities relating
• Psychological characteristics
• The relationship between brand credibility
• Customers’ behavioral intentions with reference to Iranian service market
• Iranian service market
• Positively related to satisfaction
• The current brand
• Bt Cotton tenant farmers
• Relationship between profile characteristics
• Level of knowledge
• Recommended package
• Recommended package of practices
• Groundnut farmers
• Profile characterisics
• Marketing behaviour
• Their marketing behaviour
• Financial development
• Panel data
• Least developed countries
• Economic growth
• Relationship between financial development
• A case study of intercultural communication
• Relationship between a Vietnamese and an american
• Degree of directness
• Formality and politeness
• Intercultural communication stud
• Extent of adoption
• Socio economic status
• Production technology
• Relationship between attributes
• Knowledge and adoption
• Chilli growers
• The relationship between electronic cashless policy
• Performance of nigeria economy
• Nigerian Inter Bank Settlement System
• POS can validate any transaction
• Electronic cashless policy
• Customer loyalty
• Customer satisfaction
• Relationship between service quality
• Price perception
• Job satisfaction
• Organizational role stress
• Extension personnel
• Women extension personnel
• Relationship between job satisfaction
• Theory of planned behaviour
• Green purchase behavior
• An investigation into
• Relationship between materialism