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Adaptive Erwartungsbildung und Finanzmarktdynamik

Author

Listed:
  • Thomas Dangl

    (Universität Wien)

  • Engelbert J. Dockner

    (Universität Wien)

  • Andrea Gaunersdorfer

    (Universität Wien)

  • Alexander Pfister

    (Wirtschaftsuniversität Wien)

  • Leopold Sögner

    (Wirtschaftsuniversität Wien)

  • Günter Strobl

    (University of Pennsylvania)

Abstract

Summary Based on a classical financial market model we discuss three model variants, each focusing on a different approach in the formation of (heterogeneous) beliefs about future asset prices: the concept of Consistent Expectations, the concept of Adaptive Belief Systems, and artificial financial markets, where beliefs (or expectations) are formed by Classifier Systems. We analyze the consequences of these different mechanisms of expectations formation on the equilibrium dynamics of asset prices and compare statistical properties of returns generated by these models with the characteristics of real world time series.

Suggested Citation

  • Thomas Dangl & Engelbert J. Dockner & Andrea Gaunersdorfer & Alexander Pfister & Leopold Sögner & Günter Strobl, 2001. "Adaptive Erwartungsbildung und Finanzmarktdynamik," Schmalenbach Journal of Business Research, Springer, vol. 53(4), pages 339-365, June.
    • Handle: RePEc:spr:sjobre:v:53:y:2001:i:4:d:10.1007_bf03372651
    DOI: 10.1007/BF03372651
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    References listed on IDEAS

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    Keywords

    D84;

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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