Re: [SL] Economic simulation

[Chris Hancock <ch@media.mit.edu>]

The following message was not forwarded correctly by the Starlogo-users
mail system. Here it is now. Sorry for the delay. /Chris
_________________________________________________________
From: r-picker@uchicag  Mon Sep 21 19:01

I don't know about on the starlogo platform, but for a swarm version you

might look at:

Abstract:
Asset Pricing Under Endogenous Expectation in an Artificial Stock Market

W. Brian Arthur, John H. Holland, Blake LeBaron, Richard Palmer, and
Paul
Taylor
We propose a theory of asset pricing based on heterogeneous agents who
continually adapt their expectations to the market that these
expectations
aggregatively create. And we explore the implications of this theory
computationally using our Santa Fe artificial stock market.
Asset markets, we argue, have a recursive nature in that agents'
expectations are formed on the basis of their anticipations of other
agents'
expectations, which precludes expectations being formed by deductive
means.
Instead traders continually hypothesize---continually
explore---expectational models, buy or sell on the basis of those that
perform best, and confirm or discard these according to their
performance.
Thus individual beliefs or expectations become endogenous to the market,
and
constantly compete within an ecology of others' beliefs or expectations.
The
ecology of beliefs coevolves over time.
Computer experiments with this endogenous-expectations market explain
one of
the more striking puzzles in finance: that market traders often believe
in
such concepts as technical trading, "market psychology," and bandwagon
effects, while academic theorists believe in market efficiency and a
lack of
speculative opportunities. Both views, we show, are correct, but within
different regimes. Within a regime where investors explore alternative
expectational models at a low rate, the market settles into the
rational-expectations equilibrium of the efficient-market literature.
Within
a regime where the rate of exploration of alternative expectations is
higher, the market self-organizes into a complex pattern. It acquires a
rich
psychology, technical trading emerges, temporary bubbles and crashes
occur,
and asset prices and trading volume show statistical features---in
particular, GARCH behavior---characteristic of actual market data.
keywords: Asset pricing, heterogeneous agents, endogeneous expectations,

artificial stock market

at
http://www.santafe.edu/sfi/publications/Abstracts/96-12-093abs.html

Randy

Prof. Randal C. Picker
Paul and Theo Leffmann Professor
   of Commercial Law
The Law School
The University of Chicago
1111 East 60th Street
Chicago, IL 60637

email: r-picker@uchicago.edu
voice: 773-702-0864
fax: 773-702-0730
website: www.law.uchicago.edu/Picker/


-----Original Message-----
From:   Christophe Berg (by way of Chris Hancock <ch@media.mit.edu>)
[mailto:christopheberg@hotmail.com]
Sent:   Monday, September 21, 1998 9:22 AM
To:     starlogo-users@media.mit.edu
Subject:        [SL] Economic simulation

Hi,

I was talking with a economist professor yesterday about the law of the
market. Because I was talking about StarLogo and the possibility of
simulation several systems, I asked me about a simulation of the market
(like Stock Exchange). Is anyone who worked on this aspects ? Thanks.

Regards, Christophe Berg



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