Showing papers by "Blake LeBaron published in 2012"
TL;DR: In this article, the authors present a new agent-based financial market, which 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.
Abstract: 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 some insights into the dynamics of agent strategies and how they lead to market instabilities.
64 citations
TL;DR: In this article, the authors test wealth-based evolution in a simple, stylized agent-based financial market and show that wealth selection alone converges to parameters which are economically far from the optimal forecast parameters.
5 citations
TL;DR: In this paper, the probability of a "lost decade" where equity investments lose value over a ten-year period is estimated, and the results for the U.S. are augmented with international data which strengthen the case for long horizon risk.
Abstract: 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 international data which strengthen the case for long horizon risk.
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TL;DR: The rosenberg Institute of Global Finance as discussed by the authors analyzes and anticipates major trends in global financial markets, institutions, and regulations, and develops the information and ideas required to solve emerging problems.
Abstract: The rosenberg Institute of Global Finance seeks to analyze and anticipate major trends in global financial markets, institutions, and regulations, and to develop the information and ideas required to solve emerging problems. It focuses on the policy implications of economic globalization. To this end, it sponsors informal exchanges among scholars and practitioners, conducts research and policy analyses, and participates in the School’s teaching programs. The Institute, founded in 2002, is named for Barbara C. Rosenberg ’54 and Richard M. Rosenberg.