### Abstract

Lingua originale | English |
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Titolo della pubblicazione ospite | Artificial Economics: The generative Method in Economics |

Pagine | 211-222 |

Numero di pagine | 268 |

Stato di pubblicazione | Published - 2009 |

### Serie di pubblicazioni

Nome | LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS |
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### Fingerprint

### All Science Journal Classification (ASJC) codes

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

### Cita questo

*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.

Risultato della ricerca: Chapter

*Artificial Economics: The generative Method in Economics.*LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS, pagg. 211-222.

}

TY - CHAP

T1 - Asset Return Dynamics under Alternative Learning Schemes

AU - Lacagnina, Valerio

AU - Consiglio, Andrea

AU - Russino, Annalisa

AU - Catanese, Elena

PY - 2009

Y1 - 2009

N2 - 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.

AB - 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.

KW - Agent based models

KW - heterogeneous beliefs

KW - learning

KW - regime switching models

UR - http://hdl.handle.net/10447/44279

UR - http://www.springer.com/series/300

M3 - Chapter

SN - 978-3-642-02955-4

T3 - LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS

SP - 211

EP - 222

BT - Artificial Economics: The generative Method in Economics

ER -