The objective of this work is to empirically test the EMH and compare its results to those of a viable competitor using computational simulation. Specifically, the individual-agent approach has been gaining momentum recently as the appropriate numerical tools are now widely available (Bonaneau 2002; Cioffi-Revilla 2002; Diks et al. 2007; Gilbert, Bankes 2002; Inchiosa, Parker 2002; Tesfatsion 2002). This fact, coupled with intensifying doubts concerning the validity of efficient-markets theory, has led to intensive use of the agent-based approach with computational agent-based modeling (ABM) of financial markets (Bonabeau 2002). Although multiple theories currently compete with the EMH to varying degrees, we focus explicitly on the use of ABM to generate results consistent with Hang Seng and Nikkei 225 price changes.
Recommended CitationSwisher '08, Scott (2008) "Stock Index Pricing with Random Walk and Agent-based Models," The Park Place Economist: Vol. 16
Available at: https://digitalcommons.iwu.edu/parkplace/vol16/iss1/16