The Cross Section of Stock Returns in an Artificial Stock Market

The Institute of Economics will hold a seminar meeting as part of its Seminar Series on Tuesday, October 4th, 2022: Remco Zwinkels from the University of Amsterdam will present the paper "The Cross Section of Stock Returns in an Artificial Stock Market".

Abstract

In this paper, the authors develop an Artificial Stock Market (ASM) - an agent-based model of the stock market. The ASM has three layers of heterogeneous and interacting agents, and generates prices for 150 stocks. The authors demonstrate the current state of the model and its ability to replicate the main features of real equity markets in both the time-series and cross-sectional domain. A well-defined ASM has the ability to serve as a laboratory for experiments that would otherwise would not be possible, as well as a generator for large amounts of data..

The seminar will be held in blended mode. In person participation is possible and available seats are allocated on a first come first served basis. For online participation please use the following link.