Detailed Notes on the SFI Stock Market (Econ 308)

Last Updated: 6 March 2012

Site Developed By:
Leigh Tesfatsion
Professor Emerita of Economics
Iowa State University
Ames, Iowa 50011-1070
tesfatsi AT
Econ 308 Web Site:



Basic Concepts

Basic Objectives of the Santa Fe ASM Model

  1. Understand impact of agent interactions and group learning dynamics

  2. Provide a "first level" test of the rational expectations hypothesis by introducing agent interactions and group learning in a relatively traditional financial model.

  3. Study dynamics around a well-studied equilibrium (fundamental pricing).

  4. Examine whether the introduction of agent interactions and group learning helps to explain empirical observations.

  5. In particular, does it help to explain well-documented "anomalies" (deviations from fundamental stock pricing)?

  6. Stress on statistical characteristics of price and trading volume outcomes.

The Santa Fe Artificial Stock Market

Basic Model Features

Time-Line of Activities

Note: The following time-line is for an arbitrary period t with t greater than 1

GA Condition/Forecast Classifier Learning

NOTE: See LeBaron et al. (1999) for a more detailed discussion of the design and implementation of GA condition/forecast classifier learning in Arthur et al. (1997).

Experimental Design and Findings

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