Abstract

http://ssrn.com/abstract=1596215
 
 

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Schizophrenic Representative Investors


Philip Maymin


NYU Poly - Department of Finance and Risk Engineering

February 16, 2013

Complex Systems (2013), Vol. 22, No. 1, pp. 61-73

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.

Number of Pages in PDF File: 18

Keywords: complexity, representative investor, deterministic, behavioural

JEL Classification: G10, G12

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Date posted: April 27, 2010 ; Last revised: July 14, 2013

Suggested Citation

Maymin, Philip, Schizophrenic Representative Investors (February 16, 2013). Complex Systems (2013), Vol. 22, No. 1, pp. 61-73. Available at SSRN: http://ssrn.com/abstract=1596215 or http://dx.doi.org/10.2139/ssrn.1596215

Contact Information

Philip Maymin (Contact Author)
NYU Poly - Department of Finance and Risk Engineering ( email )
Brooklyn, NY 11201
United States

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