"A Heterogeneous Agents Model with a Market Maker: Theory and Evidence"


Speaker


Abstract

This paper empirically estimates a heterogeneous agents model with a market maker using S&P 500 data. Fundamentalists expect mean reversion while chartists condition expectation on a geometric decay process. Results indicate that the market is populated with fundamentalists and chartists, and that agents switch between these groups. Furthermore, the inclusion of a market maker proves to be beneficial compared to a Walrasian auctioneer.
 
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Contact information:
Sebastian Gryglewicz
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