An agent-based model of financial market efficiency dynamics
We build a parsimonious agent-based model under the adaptive market hypothesis (AMH), which can explain the formation of equilibrium prices and market efficiency dynamics. Our model combines heterogeneous interacting agents, switching behavior, and investor feedback on past realized returns, with re...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2022-07-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845021000995 |