Arbeitspapier
Financial Markets as Nonlinear Adaptive Evolutionary Systems
Recent work on complex adaptive systems for modeling financialmarkets is surveyed. Financia1 markets areviewed as evolutionary systems between different, competing tradingstrategies. Agents are boundedly rational inthe sense that they tend to follow strategies that have performedwell, according to realized profits or accumulatedwea1th, in the recent past. Simple technical trading rules maysurvive evolutionary competition in a heterogeneousworld where prices and beliefs co-evolve over time. The evolutionarymodel explains stylized facts, such as fat tails,volatility clustering and long memory, of real financial series.Although our adaptive belief systems are very simple, they can matchthe autocorrelation patterns of returns,squared returns and absolute returns of 40 years of S&P 500 dataSome recent laboratory work on expectationsformation in an asset pricing framework is also discussed.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 01-014/1
- Klassifikation
-
Wirtschaft
- Thema
-
Finanzmarkt
Evolutionsökonomik
Volatilität
Effizienzmarkthypothese
Beschränkte Rationalität
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hommes, Cars H.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hommes, Cars H.
- Tinbergen Institute
Entstanden
- 2001
Ähnliche Objekte (12)
Evolutionary Thinking in Environmental Economics
Splitting Orders in Fragmented Markets
Transaction Costs in Housing Markets
Information Overload in Monopsony Markets
Optimal Commodity Taxation Under Non-linear Income Taxation
Common Risk Factors in Equity Markets
Evolutionary Analysis of the Relationship between Economic Growth, Environmental Quality and Resource Scarcity
Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean
Complete and Incomplete Markets with Short-Sale Constraints
Complex Evolutionary Systems in Behavioral Finance
Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies
Shallow Lake Economics Run Deep: Nonlinear Aspects of an Economic-Ecological Interest Conflict
Evolutionary Thinking in Environmental Economics
Splitting Orders in Fragmented Markets
Transaction Costs in Housing Markets
Information Overload in Monopsony Markets
Optimal Commodity Taxation Under Non-linear Income Taxation
Common Risk Factors in Equity Markets
Evolutionary Analysis of the Relationship between Economic Growth, Environmental Quality and Resource Scarcity
Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean
Complete and Incomplete Markets with Short-Sale Constraints
Complex Evolutionary Systems in Behavioral Finance
Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies
Shallow Lake Economics Run Deep: Nonlinear Aspects of an Economic-Ecological Interest Conflict
Evolutionary Thinking in Environmental Economics
Splitting Orders in Fragmented Markets
Transaction Costs in Housing Markets
Information Overload in Monopsony Markets
Optimal Commodity Taxation Under Non-linear Income Taxation
Common Risk Factors in Equity Markets
Evolutionary Analysis of the Relationship between Economic Growth, Environmental Quality and Resource Scarcity
Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean
Complete and Incomplete Markets with Short-Sale Constraints
Complex Evolutionary Systems in Behavioral Finance
Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies