Learning from experience in the stock market

Autor:	Galo Nuño, Anton Nakov
Rok vydání:	2015
Předmět:	Economics and Econometrics Control and Optimization Financial economics Applied Mathematics Economics Capital asset pricing model Stock market Gain parameter Bayesian inference Rational expectations equilibrium Stock price
Zdroj:	Journal of Economic Dynamics and Control. 52:224-239
ISSN:	0165-1889
DOI:	10.1016/j.jedc.2014.11.017
Popis:	We study the dynamics of a Lucas-tree model with …nitely lived individuals who “learn from experience.” Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic ‡uctuations around the rational expectations equilibrium. This heterogeneous-agents economy can be approximated by a representative-agent model with constant-gain learning, where the gain parameter is related to the survival rate.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::b3377dc72c1f221350e027078a7d54e7 https://doi.org/10.1016/j.jedc.2014.11.017 Zobrazit plný text záznamu Full Text from ScienceDirect