Genetic algorithms + data structures = evolution programs (2nd, extended ed.)
Genetic algorithms + data structures = evolution programs (2nd, extended ed.)
Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model
Computational Economics - Special issue: Evolutionary processes in economics
Decentralized Allocation of Human Capital and Nonlinear Growth
Computational Economics
Neural networks and Markov models for the iterated prisoner's dilemma
IJCNN'09 Proceedings of the 2009 international joint conference on Neural Networks
IJCNN'09 Proceedings of the 2009 international joint conference on Neural Networks
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In this paper, we investigate the presence of rationalherding on asset price dynamics during the intra-day trading withheterogeneous interacting agents, whose information set is notcomplete. In the model, individual probability measures offinancial investment strategies are defined using statisticalmechanics concepts. In addition, there is a learning processtoward the best strategy, implemented as a geneticalgorithm. Simulations show that imitative behavior can be arational strategy, since it allows an investor to gain excessreturns on an asset by exploiting information regarding pricedynamics not strictly contained in the fundamental solution. Herdbehavior is rational in the sense that it produces profits at theexpense of increasing the complexity of the system.