tailieunhanh - 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 .