• DocumentCode
    1540676
  • Title

    Empirical regularities from interacting long- and short-memory investors in an agent-based stock market

  • Author

    LeBaron, Blake

  • Author_Institution
    Graduate Sch. of Int. Econ. & Finance, Brandeis Univ., Waltham, MA, USA
  • Volume
    5
  • Issue
    5
  • fYear
    2001
  • fDate
    10/1/2001 12:00:00 AM
  • Firstpage
    442
  • Lastpage
    455
  • Abstract
    This paper explores some of the empirical features generated in an agent-based computational stock market with market participants adapting and evolving over time. Investors view differing lengths of past information as being relevant to their investment decision-making process. The interaction of these memory lengths in determining market prices creates a kind of market ecology in which it is difficult for the more stable longer horizon agents to take over the market. What occurs is a dynamically changing market in which different types of agents arrive and depart depending on their current relative performance. This paper analyzes several key time series features of such a market. It is calibrated to the variability and growth of dividend payments in the United States. The market generates some features that are remarkably similar to those from actual data. These include magnifying the volatility from the dividend process, inducing persistence in volatility and volume, and generating fat-tailed return distributions
  • Keywords
    economic cybernetics; evolutionary computation; stock markets; USA; United States; agent-based computational stock market; dividend process volatility; empirical regularities; fat-tailed return distributions; interacting investors; investment decision-making process; long horizon agents; long-memory investors; process volatility; short-memory investors; time series features; volume persistence; Casting; Decision making; Economic forecasting; Environmental factors; Finance; Investments; Macroeconomics; Neural networks; Stock markets; Time series analysis;
  • fLanguage
    English
  • Journal_Title
    Evolutionary Computation, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    1089-778X
  • Type

    jour

  • DOI
    10.1109/4235.956709
  • Filename
    956709