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Figure A1. The market indices of the FTSE 100 and TWSI from 1 January 1997 to 31 October 2002.
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We model endogenous correlation in asset returns via the role of heterogeneous expectations in investor types, and the dynamic impact of imitative learning by investors. Learning is driven by relative performance. In addition, we allow a cautious slow learning pace to reflect institutional conditions. Imitative learning shapes the market ecology th...
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