Аннотация
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 within different
regimes. Within a regime where investors explore
alternative expectational models at a low rate, the
market settles into the rational expectations
equilibrium of the efficient-market literature. Within
a regime where the rate of exploration of alternative
expectations is higher, the market self-organizes into
a complex pattern. It acquires a rich psychology,
technical trading emerges, temporary bubbles and
crashes occur, and asset prices and trading volume show
statistical features in particular, GARCH behavior
characteristic of actual market data.
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