New: Wealth Dynamics and a Bias Toward Momentum Trading
Evolutionary metaphors have been prominent in both economics and finance. They are often used as basic foundations for rational behavior and efficient markets. Theoretically, a mechanism which selects...
View ArticleNew: Heterogeneous Gain Learning and the Dynamics of Asset Prices
This paper presents a new agent-based financial market. It is designed to be both simple enough to gain insights into the nature and structure of what is going on at both the agent and macro levels,...
View ArticleNew: Heterogeneous Gain Learning and Long Swings in Asset Prices
This paper considers the impact of heterogeneous gain learning in an asset pricing model. A relatively stylized model is shown to generate persistent swings of asset prices from their fundamental...
View ArticleNew: Searching for Lost Decades in U.S and Global Equities
This paper estimates the probability of a 'lost decade' where equity investments lose value over a ten year period. The findings are a reminder that equity investments are risky even over longer time...
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