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Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 08-054/1
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
Traditional finance is built on the rationality paradigm. This chapter discusses simple models from an alternative approach in which financial markets are viewed as complex evolutionary systems. Agents are boundedly rational and base their investment decisions upon market forecasting heuristics. Prices and beliefs about future prices co-evolve over time with mutual feedback. Strategy choice is driven by evolutionary selection, so that agents tend to adopt strategies that were successful in the past. Calibration of simple complexity models with heterogeneous expectations to real financial market data and laboratory experiments with human subjects are also discussed.
Schlagwörter: 
Asset pricing
heterogeneous beliefs
empirical validation
forecasting experiments
JEL: 
C13
C91
C92
D84
G12
Dokumentart: 
Working Paper
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