Time series properties of an artificial stock market

Journal of Economic Dynamics and Control

Volumn 23, Issue 9-10, 1999, Pages 1487-1516

  LeBaron, Blake ^a,b   Arthur, W Brian ^b   Palmer, Richard ^c  

^a BRANDEIS UNIVERSITY   (United States)

^b SANTA FE INSTITUTE   (United States)

^c DUKE UNIVERSITY   (United States)

Author keywords

Asset pricing; Evolution; Financial time series; Learning

Indexed keywords

EID: 0033192192     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(98)00081-5     Document Type: Article

References (61)

1. Admati A.R. The informational role of prices. Journal of Monetary Economics. 28:1991;347-361.
2. Arifovic J. The behavior of the exchange rate in the genetic algorithm and experimental economies. Journal of Political Economy. 104:1996;510-541.
3. Arthur, W.B., Holland, J., LeBaron, B., Palmer, R., Tayler, P., 1997. Asset pricing under endogenous expectations in an artificial stock market. In: Arthur, W.B., Durlauf, S., Lane, D. (Eds.), The Economy as an Evolving Complex System II. Addison-Wesley, Reading, MA, pp. 15-44.
4. Bäck, T., 1996. Evolutionary Algorithms in Theory and Practice. Oxford University Press, Oxford, UK.
5. Benink, H., Bossaerts, P., 1996. An exploration of neo-austrian theory applied to financial markets. Technical Report, California Institute of Technology, Pasadena, CA.
6. Bollerslev T., Chou R.Y., Jayaraman N., Kroner K.F. ARCH modeling in finance: a review of the theory and empirical evidence. Journal of Econometrics. 52(1):1990;5-60.
7. Bray M. Learning, estimation, and the stability of rational expectations. Journal of Economic Theory. 26:1982;318-339.
8. Brock W.A., Dechert W.D., Scheinkman J.A., LeBaron B. A test for independence based on the correlation dimension. Econometric Reviews. 15(3):1996;197-235.
9. Brock W.A., Hommes C.H. Heterogeneous beliefs and routes to chaos in a simple asset pricing model. Journal of Economic Dynamics and Control. 22(8 and 9):1998;1235-1274.
10. Brock, W.A., Hsieh, D., LeBaron, B., 1991. Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence. MIT Press, Cambridge, MA.
11. Brock W.A., Lakonishok J., LeBaron B. Simple technical trading rules and the stochastic properties of stock returns. Journal of Finance. 47:1992;1731-1764.
12. Brock W.A., LeBaron B. A dynamic structural model for stock return volatility and trading volume. Review of Economics and Statistics. 78:1996;94-110.
13. Campbell, J., Mankiw, G., 1989. Consumption, income, and interest rates: reinterpreting the time series evidence. In: Blanchard, O., Fischer, S. (Eds.), NBER Macroeconomics Annual 1989. MIT Press, Cambridge.
14. Campbell, J.Y., Lo, A.W., MacKinlay, A.C., 1996. The Econometrics of Financial Markets. Princeton University Press, Princeton, NJ.
15. Campbell J., Shiller R. Stock prices, earnings, and expected dividends. Journal of Finance. 63:1988;661-676.
16. Campbell J.Y., Shiller R. The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies. 1:1988;195-227.
17. Chiarella C. The dynamics of speculative behaviour. Annals of Operations Research. 37:1992;101-123.
18. Cochrane J. The sensitivity of tests of the intertemporal allocation of consumption to near-rational alternatives. American Economic Review. 79:1989;319-337.
19. Conlisk J. Why bounded rationality. Journal of Economic Literature. 34:1996;669-700.
20. Day R.H., Huang W.H. Bulls, bears, and market sheep. Journal of Economic Behavior and Organization. 14:1990;299-330.
21. De Grauwe, P., Dewachter, H., Embrechts, M., 1993. Exchange Rate Theory: Chaotic Models of Foreign Exchange Markets. Blackwell, Oxford.
22. de la Maza, M., Yuret, D., 1995. A model of stock market participants. In: Biethahn, J., Nissen, V. (Eds.), Evolutionary Algorithms in Management Applications. Springer, Heidelberg, pp. 290-304.
23. De Long J.B., Shleifer A., Summers L.H. Noise trader risk in financial markets. Journal of Political Economy. 98:1990;703-738.
24. Engle R.F. Autoregressive conditional heteroskedasticity with estimates of the variance of united kingdom inflation. Econometrica. 50:1982;987-1007.
25. Evans G.W. The fragility of sunspots and bubbles. Journal of Monetary Economics. 23:1989;297-317.
26. Fama E.F. Efficient capital markets: II. Journal of Finance. 45:1991;1575-1617.
27. Fogel, D.B., 1995. Evolutionary Computation: Toward a New Philosophy of Machine Intelligence. IEEE Press, Piscataway, NJ.
28. Frankel, J.A., Froot, K.A., 1988. Explaining the demand for dollars: international rates of return and the expectations of chartists and fundamentalists. In: Chambers, R., Paarlberg, P. (Eds.), Agriculture, Macroeconomics, and the Exchange Rate. Westview Press, Boulder, CO.
29. Gennotte G., Leland H. Market liquidity, hedging, and crashes. American Economic Review. 80:1990;999-1021.
30. Goldberg, D.E., 1989. Genetic Algorithms in Search, Optimization and Machine Learning. Addison-Wesley, Reading, MA.
31. Grossman, S., 1989. The Informational Role of Prices. The MIT Press, Cambridge, MA.
32. Holland, J.H., 1992. Adaptation in Natural and Artificial Systems. MIT Press, Cambridge, MA.
33. Holland, J.H., Holyoak, K.J., Nisbett, R.E., Thagard, P.R., 1986. Induction. MIT Press, Cambridge, MA.
34. Karpov J.M. The relation between price changes and trading volume: a survey. Journal of Financial and Quantitative Analysis. 22:1987;109-126.
35. Kocherlakota N. The equity premium: it's still a puzzle. Journal of Economic Literature. 34(1):1996;42-71.
36. Kurz M. On rational belief equilibria. Economic Theory. 4:1994;859-876.
37. Kurz, M., Beltratti, A., 1995. The equity premium is no puzzle. Technical report, Stanford University, Stanford, CA.
38. LeBaron, B., 1998. Technical trading rules and regime shifts in foreign exchange. In: Acar, E., Satchell, S. (Eds.), Advanced Trading Rules. Butterworth-Heinemann, pp. 5-40.
39. LeBaron, B., 1999. Agent based computational finance: suggested readings and early research. Journal of Economic Dynamics and Control, forthcoming.
40. Lettau M. Explaining the facts with adaptive agents: the case of mutual fund flows. Journal of Economic Dynamics and Control. 21:1997;1117-1148.
41. Lettau, M., Uhlig, H., 1999. Rules of thumb and dynamic programming. American Economic Review 89 (1), 148-174.
42. Levich R.M., Thomas L.R. The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach. Journal of International Money and Finance. 12:1993;451-474.
43. Lux T. The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions. Journal of Economic Behavior and Organization. 33:1998;143-165.
44. Marengo, L., Tordjman, H., 1995. Speculation, heterogeneity, and learning: a model of exchange rate dynamics. Technical Report WP-95-17, International Institute for Applied Systems Analysis, Vienna, Austria.
45. Margarita, S., Beltratti, A., 1993. Stock prices and volume in an artificial adaptive stock market. New Trends in Neural Computation: International Workshop on Artificial Networks. Springer, Berlin, pp. 714-719.
46. Marimon R., McGrattan E., Sargent T.J. Money as a medium of exchange in an economy with artificially intelligent agents. Journal of Economic Dynamics and Control. 14:1990;329-373.
47. Mitchell, M., 1996. An Introduction to Genetic Algorithms. MIT Press, Cambridge, MA.
48. Rieck, C., 1994. Evolutionary simulation of asset trading strategies. In: Hillebrand, E., Stender, J. (Eds.), Many-Agent Simulation and Artificial Life. IOS Press.
49. Routledge, B.R., 1994. Artificial selection: genetic algorithms and learning in a rational expectations model. Technical Report, GSIA, Carnegie Mellon, Pittsburgh, Penn.
50. Sargent, T., 1993. Bounded Rationality in Macroeconomics. Oxford University Press, Oxford, UK.
51. Simon, H., 1969. The Sciences of the Artificial. MIT Press, Cambridge, MA.
52. Steiglitz, K., Honig, M.L., Cohen, L.M., 1996. A computational market model based on individual action. In: Clearwater, S.H. (Ed.), Market-Based Control: A Paradigm for Distributed Resource Allocation. World Scientific, New Jersey, pp. 1-27.
53. Sweeney R.J. Beating the foreign exchange market. Journal of Finance. 41:1986;163-182.
54. Sweeney R.J. Some new filter rule tests: methods and results. Journal of Financial and Quantitative Analysis. 23:1988;285-300.
55. Taylor S.J. Rewards available to currency futures speculators: compensation for risk or evidence of inefficient pricing. Economic Record. 68:1992;105-116.
56. Taylor M., Allen H. The use of technical analysis in the foreign exchange market. Journal of International Money and Finance. 11(3):1992;304-314.
57. Thaler, R.H., 1991. Quasi Rational Economics. Russell Sage Foundation, New York, NY.
58. Thaler, R.H., 1992. The Winner's Curse: Paradoxes and Anomalies of Economic Life. The Free Press, New York, NY.
59. Woodford M. Learning to believe in sunspots. Econometrica. 52(2):1990;277-307.
60. Youssefmir M., Huberman B.A. Clustered volatility in multiagent dynamics. Journal of Economic Behavior and Organization. 32:1997;101-118.
61. Zeeman E. On the unstable behavior of stock exchanges. Journal of Mathematical Economics. 1:1974;39-49.