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首页> 外文会议>International conference on artificial intelligence;IC-AI'99 >Testing the rational expectations hypothesis with agent-based models of stock markets
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Testing the rational expectations hypothesis with agent-based models of stock markets

机译：使用基于代理的股票市场模型检验理性预期假设

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Using agent-based models of stock markets, this paper examines the rational expectations hypothesis from a bottom-up perspective. We apply standard linear and nonlinear econometric tests to artificial time series generated from two artificial stock markets composed of bounded-rational traders. The two artificial stock markets differs in their architectures: one has a business school, and one does not. While the linear test shows that the market with the business school fails to reject the rational expectations hypothesis quite often, the nonlinear one does not. Therefore, strictly speaking, these two agent-based markets of bounded-rational traders do not collectively behave as what rational expectations hypotehsis predicts, and hence do not lend support to rational expectations hypothesis.
机译：本文使用基于主体的股票市场模型，从下至上的角度检验了理性预期假设。我们将标准线性和非线性计量经济检验应用于由有限理性交易者组成的两个人工股票市场产生的人工时间序列。两个人工股票市场的架构不同：一个拥有商学院，一个没有。线性检验表明，带有商学院的市场常常无法拒绝理性预期假设，而非线性检验却没有。因此，严格说来，这两个有限理性交易者的基于代理人的市场不会像理性预期假设所预测的那样共同发挥作用，因此也就无法为理性预期假设提供支持。

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