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1、ProfessorSheriMarkoseCF902ArtificialStockMarketModels:INTRODUCTION·RationaleforASM:PioneeredbyBrianArthuretalatSantaFeInstitute(1977);Shu-HengChen(2001,JEDC);Hommeset.al.(2007,JEDC)Traditionalrationalexpectationsmodelsforstockmarketbehaviourcouldnotexplaintheboombuststylizedfactsofstockmarketprice
2、s.Indeed,thetraditionalREmodelresultsinthenotraderesultorthatspeculativetradingdoesnotexistasallagentsmusthaveHOMOGENEOUSRATIONALEXPECTATIONS.Thatis,rationalagentswhoformexpectationsofthestockpricegiventhesameinformationsetasintheFamatypeassertiononefficientmarkethypothesis(EMH)states:prices,P,tha
3、tcontainall(publically)availableinformation,H,followamartingalesuchthatpricechangesarerandomandnotseriallycorrelated.Ifthetheoryofemergenceoralgorithmicundecidabilityofstrongreflexiveencodingsisnotexplicitlyconsidered,itiseasytobecomeavictimofthefallacyofcomposition.Itcanbeheldthattheglobaloutcome
4、ofnon-anticipativepricesistheconsequenceofrationalagentswhobelievethistobethecase.Thatis,ifiindexesallNagents,thefollowingstatesthatallagentshavehomogenousbeliefsthattheassetpriceisarandomwalk"iEi(Pt+1
5、Ht)=Pt,InArthuret.al(1997)thehomogenousrationalexpectationsequilibrium(HREE)priceatt+1differsfro
6、mthediscountedcurrentpriceonlybyaconstanttermwhichistheriskadjusteddividendyield.i=1,2,…….,N.Inthecasewhenassetsaretradedforpurelyspeculativereasons,viz.forpecuniarygainsbasedonpriceexpectations,homogenouspriceexpectationsresultsinthenon-existenceofspeculativetrading.Wehavetheparadoxthatwiththeces
7、sationoftrade,thepriceatt+1,Pt+1,nevergetsdetermined.IfoneistotaketheSamuelson(1965)ThewellknownSamuelsoniantenetstates‘properly’anticipatedpricesfluctuaterandomly.Hereby‘proper’anticipationismeantthatconditionalexpectations,representedasE(Pt+1
8、Ht)aretaken.However,asconditionalexpectationsoperator
9、sbytheTower/iteratedpropertysatisfiesthemartingalecondition,randomfluctuationsinproperlyanticipatedpricesissatisfiedbytautology.Thus,bytheTowerpropertyE(E(Pt+1
10、Ht))
11、Ht-1)=E(Pt+1
12、Ht-1)implyingthatE(Pt+1
13、Ht)-E(Pt+1
