asset pricing under endogenous expectations in an artificial stock market(资产定价在人工股票市场内生的期望).pdf
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asset pricing under endogenous expectations in an artificial stock market(资产定价在人工股票市场内生的期望)
Asset Pricing Under Endogenous Expectations
in an Artificial Stock Market
by
*
W. Brian Arthur, John H. Holland, Blake LeBaron, Richard Palmer, and Paul Tayler
Dec 12, 1996
*
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
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