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An evolutionary alternative to rational expectations models of stock markets

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Abstract

Recent time series analyses of stock returns suggest that they contain persistent, mean-reverting stochastic trends, a results that is difficult to explain with traditional rational expectations models of stock markets. A simple model of asset pricing, which uses results on the dynamics of evolutionary games, provides a possible micro-economic foundation for this result.

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Le recenti analisi dei profitti di mercato con serie temporali suggeriscono che tali profitti contengono tendenze stocastiche persistenti di diversificazione dalla media. Questo risultato è di difficile spiegazione se si utilizza il modello di mercato delle «rational expectations». Si propone qui una giustificazione teorica possibile di tipo microeconomico basata su un semplice modello di «asset pricing» che utilizza risultati sulla dinamica di giochi evoluzionari.

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Authors and Affiliations

  1. University of Sussex, UK

    Carol E. van der Ploeg

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  1. Carol E. van der Ploeg
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(Conferenza tenuta il 31 marzo 1987)

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van der Ploeg, C.E. An evolutionary alternative to rational expectations models of stock markets. Seminario Mat. e. Fis. di Milano 57, 299–310 (1987). https://doi.org/10.1007/BF02925058

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