Schizophrenic representative investors

Philip Z. Maymin

Research output: Contribution to journalArticlepeer-review

Abstract

Representative investors whose behavior is modeled 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 behavior is schizophrenic, meaning the investor holds multiple seemingly contradictory beliefs simultaneously, either by switching between two different rules at each time step, or computing different responses to different assets.

Original languageEnglish (US)
Pages (from-to)61-73
Number of pages13
JournalComplex Systems
Volume22
Issue number1
DOIs
StatePublished - 2013

ASJC Scopus subject areas

  • Control and Systems Engineering
  • General Computer Science

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