Asset Return Dynamics under Alternative Learning Schemes

Risultato della ricerca: Chapter

Abstract

In this paper we design an artificial market where endogenous volatility is created assigning to the agents diverse prior beliefs about the joint distribution of returns, and, over time, making agents rationally update their beliefs using common public information. We analyze the asset price dynamics generated under two learning environments: one where agents assume that the joint distribution of returns is IID, and another where agents believe in the existence of regimes in the joint distribution of asset returns. We show that the regime switching learning structure can generate all the most common stylized facts of financial markets: fat tails and long-range dependence in volatility coexisting with relatively efficient markets.
Lingua originaleEnglish
Titolo della pubblicazione ospiteArtificial Economics: The generative Method in Economics
Pagine211-222
Numero di pagine268
Stato di pubblicazionePublished - 2009

Serie di pubblicazioni

NomeLECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS

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Asset returns
Joint distribution
Long-range dependence
Stylized facts
Fat tails
Regime switching
Price dynamics
Public information
Efficient markets
Asset prices
Financial markets
Learning environment
Common belief

All Science Journal Classification (ASJC) codes

  • Mathematics (miscellaneous)
  • Economics, Econometrics and Finance (miscellaneous)

Cita questo

Lacagnina, V., Consiglio, A., Russino, A., & Catanese, E. (2009). Asset Return Dynamics under Alternative Learning Schemes. In Artificial Economics: The generative Method in Economics (pagg. 211-222). (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).

Asset Return Dynamics under Alternative Learning Schemes. / Lacagnina, Valerio; Consiglio, Andrea; Russino, Annalisa; Catanese, Elena.

Artificial Economics: The generative Method in Economics. 2009. pag. 211-222 (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).

Risultato della ricerca: Chapter

Lacagnina, V, Consiglio, A, Russino, A & Catanese, E 2009, Asset Return Dynamics under Alternative Learning Schemes. in Artificial Economics: The generative Method in Economics. LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS, pagg. 211-222.
Lacagnina V, Consiglio A, Russino A, Catanese E. Asset Return Dynamics under Alternative Learning Schemes. In Artificial Economics: The generative Method in Economics. 2009. pag. 211-222. (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).
Lacagnina, Valerio ; Consiglio, Andrea ; Russino, Annalisa ; Catanese, Elena. / Asset Return Dynamics under Alternative Learning Schemes. Artificial Economics: The generative Method in Economics. 2009. pagg. 211-222 (LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS).
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