Remember me

Register  |   Lost password?


Sign up here to let us know if you are interested in joining us for our Introduction to QuantLib Course later in the year.

 

Blake LeBaron's Blog

New: Searching for Lost Decades in U.S and Global Equities

September 30, 2012 Comments (0)

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 periods, and investors should take this into consideration when making portfolio choices. It also introduces a simple method to allow the reader to combine beliefs about long run stock returns along with computer simulated return distributions. Finally, the results for the U.S. are augmented with

New: Heterogeneous Gain Learning and Long Swings in Asset Prices

June 26, 2011 Comments (0)

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 values which replicates long range samples of U.S financial data. The detailed mechanisms of the learning models are then explored. Evidence suggests that agents' perceptions of risk and its dynamics and persistence are important in generating appropriate price/fundamental dynamics. Agents putting large

New: Heterogeneous Gain Learning and the Dynamics of Asset Prices

June 26, 2011 Comments (0)

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, but remain rich enough to allow for many interesting evolutionary experiments. The model is driven by heterogeneous agents who put varying weights on past information as they design portfolio strategies. It faithfully generates many of the common stylized features of asset markets. It also yields som

New: Wealth Dynamics and a Bias Toward Momentum Trading

June 26, 2011 Comments (0)

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 for rational investors requires many caveats, and is far from generic. This paper tests wealth-based evolution in a simple, stylized agent-based financial market. The setup borrows extensively from current research in finance that considers optimal behavior with some amount of return predictab

New: Wealth Dynamics and a Bias Toward Momentum Trading

June 26, 2011 Comments (0)

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 for rational investors requires many caveats, and is far from generic. This paper tests wealth-based evolution in a simple, stylized agent-based financial market. The setup borrows extensively from current research in finance that considers optimal behavior with some amount of return predictab