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Asset Price Behavior in Complex Environments

Author

Listed:
  • Brock, W.A.

Abstract

We startd out this paper with a list of Facts that financial theorizing should attempt to explain. We discussed the Facts in enough detail so that the reader can appreciate the caution one needs to display while interpreting evidence form financial databases.

Suggested Citation

  • Brock, W.A., 1996. "Asset Price Behavior in Complex Environments," Working papers 9606, Wisconsin Madison - Social Systems.
    • Handle: RePEc:att:wimass:9606
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    Citations

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    Cited by:

    1. Steven N. Durlauf, 1996. "Statistical Mechanics Approaches to Socioeconomic Behavior," NBER Technical Working Papers 0203, National Bureau of Economic Research, Inc.
    2. Sansone, Alessandro & Garofalo, Giuseppe, 2007. "Asset price dynamics in a financial market with heterogeneous trading strategies and time delays," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 247-257.
    3. Brock,W.A. & Hommes,C.H., 2001. "Evolutionary dynamics in financial markets with many trader types," Working papers 7, Wisconsin Madison - Social Systems.
    4. Mordecai Kurz, "undated". "Endogenous Uncertainty: A Unified View of Market Volatility," Working Papers 97027, Stanford University, Department of Economics.
    5. Brock,W.A. & Hommes,C.H., 2002. "Heterogeneous beliefs and routes to complex dynamics in asset pricing models with price contingent contracts," Working papers 3, Wisconsin Madison - Social Systems.
    6. Heba M. Ezzat, 2019. "Disposition effect and multi-asset market dynamics," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 11(2), pages 144-164, June.
    7. Mordecai Kurz, 1997. "Social States of Belief and the Determinants of the Equity Risk Premium in A Rational Belief Equilibrium," Working Papers 97026, Stanford University, Department of Economics.
    8. SaangJoon Baak, 1999. "Heterogeneous Expectations, Market Dynamics, and Social Welfare," Computing in Economics and Finance 1999 222, Society for Computational Economics.
    9. F. Chiaromonte & G. Dosi, 1998. "Modeling a Decentralized Asset Market: An Introduction the Financial "Toy Room"," Working Papers ir98115, International Institute for Applied Systems Analysis.

    More about this item

    Keywords

    PRICING; FINANCIAL MARKET;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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