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Schizophrenic Representative Investors.

Втр, 04/27/2010 - 15:02 — SomNambul
Authors: Philip Z. Maymin
Subjects: Trading and Market Microstructure
link: http://arxiv.org/abs/1004.4592
Abstract

Representative investors whose behaviour is modelled by a deterministic
finite automaton generate complexity both in the time series of each asset and
in the cross-sectional correlation when the rule governing their behaviour is
schizophrenic, meaning the investor must hold multiple seemingly contradictory
beliefs simultaneously, either by switching between two different rules at each
time step, or computing different responses to different assets.

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Пнд, 02/27/2012 - 14:37 — cangella

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