A Rational Route to Randomness
From MaRDI portal
Publication:4359765
DOI10.2307/2171879zbMath0898.90042OpenAlexW2145930759MaRDI QIDQ4359765
William A. Brock, Cars H. Hommes
Publication date: 20 October 1997
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2171879
business cyclesadaptive learninghomoclinic orbitstrange attractorhomoclinic bifurcationsheterogeneous beliefscobweb modeladaptively rational equilibrium
Related Items
Model uncertainty and policy evaluation: some theory and empirics, Heterogeneous beliefs and trading inefficiencies, Emerging patterns in inflation expectations with multiple agents, Evolution of forecast disagreement in a Bayesian learning model, Heterogeneity, nonlinearity and endogenous market volatility, Adjustable and fixed interest rates mortgage markets modelling, Individual expectations, limited rationality and aggregate outcomes, Animal spirits in the foreign exchange market, Structural stochastic volatility in asset pricing dynamics: estimation and model contest, Inter-pattern speculation: beyond minority, majority and \$-games, A cobweb model with local externalities, The long-run benefits of chaos to oligopolistic firms, Imitators and optimizers in a changing environment, Informational differences and learning in an asset market with boundedly rational agents, Misperception-driven chaos: theory and policy implications, The influence of seller learning and time constraints on sequential bargaining in an artificial perishable goods market, Q-learning agents in a Cournot oligopoly model, Evolution of heterogeneous beliefs and asset overvaluation, Inflation expectations and macroeconomic dynamics: the case of rational versus extrapolative expectations, Are the representative agent's beliefs based on efficient econometric models?, Heterogeneity in stock prices: a STAR model with multivariate transition function, A consistent route to randomness, Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics, Stability and chaos in demand-based pricing under social interactions, Business-cycle models and the dangers of linearizing, Equilibria in systems of social interactions, Revisiting individual evolutionary learning in the cobweb model-an illustration of the virtual spite-effect, On learning equilibria, Dynamic effects of increasing heterogeneity in financial markets, Learning benevolent leadership in a heterogeneous agents economy, Updating wealth in an asset pricing model with heterogeneous agents, Behavioral heterogeneity in the option market, The heterogeneous expectations hypothesis: Some evidence from the lab, Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends, An analysis of the effect of noise in a heterogeneous agent financial market model, Hopf bifurcation and stability crossing curves in a cobweb model with heterogeneous producers and time delays, Formation of rationally heterogeneous expectations, A class of evolutionary models for participation games with negative feedback, Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model, Fundamentalists vs. chartists: learning and predictor choice dynamics, The Euro/Dollar exchange rate: chaotic or non-chaotic? A continuous time model with heterogeneous beliefs, Popularity of reinforcement-based and belief-based learning models: an evolutionary approach, Credit market dynamics: a cobweb model, Aggregate demand, Harrod's instability and fluctuations, Heterogeneous fundamentalists and imitative processes, An evolutionary CAPM under heterogeneous beliefs, On rationally confident beliefs and rational overconfidence, Analysis of a heterogeneous trader model for asset price dynamics, Productive public expenditures, expectation formations and nonlinear dynamics, Multiple equilibria and limit cycles in evolutionary games with logit dynamics, A stochastic cobweb dynamical model, Learning, convergence and economic constraints, Market mood, adaptive beliefs and asset price dynamics, A behavioral asset pricing model with a time-varying second moment, Ways of learning in a simple economic setting: A comparison, Complex economic dynamics: Chaotic saddle, crisis and intermittency, E\&F Chaos: A user friendly software package for nonlinear economic dynamics, A model of financial market dynamics with heterogeneous beliefs and state-dependent confidence, Real and financial interacting markets: a behavioral macro-model, Heterogeneous fundamentalists and market maker inventories, Coexistence of equilibria in a New Keynesian model with heterogeneous beliefs, Financial power laws: empirical evidence, models, and mechanisms, Modelling and measuring the irrational behaviour of agents in financial markets: discovering the psychological soliton, Order book, financial markets, and self-organized criticality, Learning with bounded memory in stochastic models, Stochastic equilibrium: Learning by exponential smoothing, Stability, chaos and multiple attractors: a single agent makes a difference, Adjustment costs, learning, and indeterminacy, Adaptive expectations coordination in an economy with heterogeneous agents, Forecasting macroeconomic fundamentals in economic crises, Equilibrium stock return dynamics under alternative rules of learning about hidden states, Cattle cycles, heterogeneous expectations and the age distribution of capital, Learning to predict rationally when beliefs are heterogeneous, Error learning behaviour and stability revisited, Performance of monetary policy with internal central bank forecasting, Heterogeneity of agents, transactions costs and the exchange rate, On the performance of efficient portfolios, Herding, a-synchronous updating and heterogeneity in memory in a CBS, Testing for bubbles and change-points, Eductive expectations coordination on deterministic cycles in an economy with heterogeneous agents, A robust rational route to randomness in a simple asset pricing model, Commodity markets, price limiters and speculative price dynamics, Stability properties for learning with heterogeneous expectations and multiple equilibria, The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach, A dynamic analysis of moving average rules, Asset price and wealth dynamics in a financial market with heterogeneous agents, Linear learning in changing environments, Restricted perception equilibria and rational expectation equilibrium, Monetary policy and heterogeneous expectations, Business cycle amplification with heterogeneous expectations, Animal spirits and monetary policy, The financial instability hypothesis: a stochastic microfoundation framework, Adaptive expectations and cobweb phenomena: does heterogeneity matter?, A \((Q,R)\) model for fuzzified deterioration under cobweb phenomenon and permissible delay in payment, Evolutionary dynamics in markets with many trader types, Equilibria in financial markets with heterogeneous agents: a probabilistic perspective, Genetic learning as an explanation of stylized facts of foreign exchange markets, Could myopic pricing be a strategic choice in marketing channels? A game theoretic analysis, When one stock share is a biological individual: a stylized simulation of the population dynamics in an order-driven market, Expectation-stock dynamics in multi-agent fisheries, Forecast combination, non-linear dynamics, and the macroeconomy, Dynamics of the Shapovalov mid-size firm model, VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS, THE PERIOD OF FINANCIAL DISTRESS IN SPECULATIVE MARKETS: INTERACTING HETEROGENEOUS AGENTS AND FINANCIAL CONSTRAINTS, A model of speculative behaviour with a strange attractor, Liquidity Shock, Animal Spirits and Bank Runs, Bifurcation analysis of a dynamic duopoly model with heterogeneous costs and behavioural rules, A note on biased fundamentalists, On the Concept of Endogenous Volatility, Behavioral heterogeneity and financial crisis: the role of sentiment, A new \& simple model of currency crisis: bifurcations and the emergence of a bad equilibrium, Estimating the intensity of choice in a dynamic mutual fund allocation decision, Bounded rationality, asymmetric information and mispricing in financial markets, Study of irregular dynamics in an economic model: attractor localization and Lyapunov exponents, Local and global analysis of a speculative housing market with production lag, Time-varying economic dominance in financial markets: A bistable dynamics approach, Agents' beliefs and economic regimes polarization in interacting markets, Complex dynamics and multistability with increasing rationality in market games, Co-existence of trend and value in financial markets: estimating an extended Chiarella model, The behavioral economics of currency unions: economic integration and monetary policy, Dynamical regimes due to technological change in a microeconomical model of production, Adaptively Adjusted Beliefs About Prices in an Evolutive Muthian Cobweb Model, The international synchronisation of business cycles: the role of animal spirits, A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market, A financial market model with endogenous fundamental values through imitative behavior, QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS, Subsidies and Interacting Crop Market Dynamics, Business fluctuations in a behavioral switching model: gridlock effects and credit crunch phenomena in financial networks, Time-varying consumer disagreement and future inflation, LEARNING FROM THE EXPECTATIONS OF OTHERS, Heterogeneous expectations and equilibria selection in an evolutionary overlapping generations model, ESTIMATING STRUCTURAL PARAMETERS IN REGRESSION MODELS WITH ADAPTIVE LEARNING, The limit distribution of evolving strategies in financial markets, Asset pricing with flexible beliefs, Heterogeneity, convergence, and autocorrelations, Herding, minority game, market clearing and efficient markets in a simple spin model framework, Dynamics of a durable commodity market involving trade at disequilibrium, Bifurcation structures of a cobweb model with memory and competing technologies, An elementary business cycle mechanism: learning from Harrod and Kaldor, Smart or stupid depends on who is your counterpart: a cobweb model with heterogeneous expectations, Bifurcation analysis of dynamic pricing processes with nonlinear external reference effects, Loss aversion in an agent-based asset pricing model, Three dimensional fractal attractors in a green transition economic growth model, Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets, Studying heterogeneity among fundamentalists in financial markets: a note, A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities, Monetary policy rules in a non-rational world: a macroeconomic experiment, Come Together: The Role of Cognitively Biased Imitators in a Small Scale Agent-Based Financial Market, Eductive Stability, Heterogeneous Information Costs and Period-Two Cycle Multiplicity, On non-ergodic asset prices, Real and financial market interactions in a multiplier-accelerator model: Nonlinear dynamics, multistability and stylized facts, How equilibrium prices reveal information in a time series model with disparately informed, competitive traders, Profitable technical trading rules as a source of price instability, Market-maker, inventory control and foreign exchange dynamics, Emissions trading with rolling horizons, Are professional forecasters Bayesian?, Coordinated bubbles and crashes, Decentralized allocation of human capital and nonlinear growth, A PRICE ADJUSTMENT PROCESS IN A MODEL OF MONOPOLISTIC COMPETITION, Complex dynamics in a nonlinear cobweb model for real estate market, Plane Maps with Denominator. Part II: Noninvertible Maps with Simple Focal Points, EMU and the stability and volatility of foreign exchange: some empirical evidence, Intrinsic heterogeneity in expectation formation, Instability in the cobweb model under the BNN dynamic, A dynamic stochastic model of asset pricing with heterogeneous beliefs, Stochastic adaptation in finite games played by heterogeneous populations, Single-leader-multiple-follower games with boundedly rational agents, A New Keynesian model with heterogeneous expectations, Price stability and volatility in markets with positive and negative expectations feedback: an experimental investigation, Asset prices, traders' behavior and market design, Network structure andn-dependence in agent-based herding models, Dynamic interaction models of economic equilibrium, PLANE MAPS WITH DENOMINATOR I: SOME GENERIC PROPERTIES, ECONOPHYSICS AND ECONOMIC COMPLEXITY, HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY, A cobweb model with gradient adjustment mechanism: nonlinear dynamics and multistability, Econometric analysis of microscopic simulation models, Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market, Exploring the financial risk of a temperature index: a fractional integrated approach, Coordination on bubbles in large-group asset pricing experiments, Eductive stability may not imply evolutionary stability in the presence of information costs, STABILITY AND CYCLES IN A COBWEB MODEL WITH HETEROGENEOUS EXPECTATIONS, A macroscopic portfolio model: from rational agents to bounded rationality, Speculative asset price dynamics and wealth taxes, KNOT POINTS IN TWO-DIMENSIONAL MAPS AND RELATED PROPERTIES, Implicit government guarantees and the externality of portfolio diversification: a complex network approach, EFFECTS OF CONTRARIAN INVESTOR TYPE IN ASSET PRICE DYNAMICS, Hopf bifurcation in a cobweb model with discrete time delays, Heterogeneous fundamentalists in a continuous time model with delays, Free utility model for explaining the social gravity law, IS MORE MEMORY IN EVOLUTIONARY SELECTION (DE)STABILIZING?, Trading profitability from learning and adaptation on the Tokyo Stock Exchange, HERD BEHAVIOR AND NONFUNDAMENTAL ASSET PRICE FLUCTUATIONS IN FINANCIAL MARKETS, A small-scale agent-based model of institutional and technological change, Asset price-GDP cross feedback. The role of dividend policies in a dynamic setting, When speculators meet suppliers: positive versus negative feedback in experimental housing markets, Learning, hypothesis testing, and rational-expectations equilibrium, BIFURCATION AND CHAOS ANALYSIS IN A DISCRETE-DELAY DYNAMIC MODEL FOR A STOCK MARKET, Operational research and artificial intelligence methods in banking, Production delays, supply distortions and endogenous price dynamics, PLANE MAPS WITH DENOMINATOR. PART III: NONSIMPLE FOCAL POINTS AND RELATED BIFURCATIONS, LEARNING IN COBWEB EXPERIMENTS, INDIVIDUAL EXPECTATIONS AND AGGREGATE BEHAVIOR IN LEARNING-TO-FORECAST EXPERIMENTS, A horse race of alternative monetary policy regimes under bounded rationality, Social contagion and the survival of diverse investment styles, Expectations and the housing market: A model of house price dynamics, Refinement of dynamic equilibrium using small random perturbations, Cournot's oligopoly equilibrium under different expectations and differentiated production, Estimation of heuristic switching in behavioral macroeconomic models, The impacts of investor network and herd behavior on market stability: social learning, network structure, and heterogeneity, Bifurcation, chaos and multi-stability regions in an asset pricing model with three subsystems, A continuum of path-dependent equilibrium solutions induced by sticky expectations., The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach, Differentiated goods in a dynamic Cournot duopoly with emission charges on output, Herd behavior, bubbles and social interactions in financial markets, Necessary and sufficient conditions for the roots of a cubic polynomial and bifurcations of codimension-1, -2, -3 for 3D maps, Microscopic models for long ranged volatility correlations, Consistent expectations equilibria and learning in a stock market, LEARNING TO FORECAST AND CYCLICAL BEHAVIOR OF OUTPUT AND INFLATION, LOCK-IN OF EXTRAPOLATIVE EXPECTATIONS IN AN ASSET PRICING MODEL, Equilibrium and Disequilibrium Dynamics in Cobweb Models with Time Delays, Local convergence properties of a cobweb model with rationally heterogeneous expectations, Are transaction taxes a cause of financial instability?, Dynamic effects of memory in a cobweb model with competing technologies, Towards a credit network based early warning indicator for crises, It takes all sorts: a heterogeneous agent explanation for prediction market mispricing, Booms, busts and behavioural heterogeneity in stock prices, Bayesian estimation of agent-based models, Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents, Optimal monetary policy in a New Keynesian model with heterogeneous expectations, Itchy feet vs cool heads: flow of funds in an agent-based financial market, A tale of two correlations: evidence and theory regarding the phase shift between the price level and output, Fiscal consolidations and heterogeneous expectations, Agent-based model calibration using machine learning surrogates, A laboratory experiment on the heuristic switching model, Oligopoly game: price makers meet price takers, The role of cognitive limitations and heterogeneous expectations for aggregate production and credit cycle, Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics, Estimation of agent-based models using sequential Monte Carlo methods, Cognitive ability and earnings performance: evidence from double auction market experiments, Boom-bust dynamics in a stock market participation model with heterogeneous traders, An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets, Time-varying arbitrage and dynamic price discovery, A calibration procedure for analyzing stock price dynamics in an agent-based framework, Learnability of an equilibrium with private information, Animal spirits and credit cycles, A cobweb model of land-use competition between food and bioenergy crops, Managing monetary policy in a New Keynesian model with many beliefs types, Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment, Inflation forecasting using a neural network, Nonlinear duopoly games with positive cost externalities due to spillover effects., Price competition in a nonlinear differentiated duopoly, Homoclinic bifurcations in heterogeneous market models., An evolutionary approach to learning in a changing environment., Some reflections on past and future of nonlinear dynamics in economics and finance, An evolutionary model with best response and imitative rules, Technology choice in an evolutionary oligopoly game, A heterogeneous agent model of asset price dynamics with two time delays, Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations, Effects of size, composition, and evolutionary pressure in heterogeneous Cournot oligopolies with best response decisional mechanisms, Heterogeneous expectations and speculative behavior in insurance-linked securities, Short-run momentum, long-run mean reversion and excess volatility: an elementary housing model, When panic makes you blind: a chaotic route to systemic risk, Contagion between asset markets: a two market heterogeneous agents model with destabilising spillover effects, Managing unanchored, heterogeneous expectations and liquidity traps, The strategic environment effect in beauty contest games, Chaotic dynamics of a piecewise linear model of credit cycles, Expectational diversity in monetary economies, Heterogeneous beliefs and the non-linear cobweb model, Endogenous fluctuations in a simple asset pricing model with heterogeneous agents, On information and market dynamics: The case of the U. S. beef market, Analysis of global bifurcations in a market share attraction model, A discrete and symmetric price adjustment process on the simplex, Chaotic dynamics in a two-dimensional overlapping generations model., Statistical properties of genetic learning in a model of exchange rate, Evolutionary competition between adjustment processes in Cournot oligopoly: instability and complex dynamics, Positive welfare effects of trade barriers in a dynamic partial equilibrium model, Innovate or imitate? Behavioural technological change, Herding, trend chasing and market volatility, Evolutionary competition in a mixed market with socially concerned firms, Strategy switching in the Japanese stock market, The bull and bear market model of Huang and Day: some extensions and new results, Learning cycles in Bertrand competition with differentiated commodities and competing learning rules, Monetary policy transmission in a model with animal spirits and house price booms and busts, Expectational stability of sunspot equilibria in non-convex economies, Exchange rate expectations of chartists and fundamentalists, Heterogeneous expectations in the gold market: specification and estimation, Adaptive learning and distributional dynamics in an incomplete markets model, Adaptive learning, endogenous uncertainty, and asymmetric dynamics, Best response dynamics with level-\(n\) expectations in two-stage games, Experimental evidence on inflation expectation formation, Sticky information and model uncertainty in survey data on inflation expectations, Global bifurcations, credit rationing and recurrent hyperinflations, Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates, Identifying booms and busts in house prices under heterogeneous expectations, Income inequality, consumption, credit and credit risk in a data-driven agent-based model, Can competition between forecasters stabilize asset prices in learning to forecast experiments?, Convergence of locally and globally interacting Markov chains., Dynamic predictor selection in a New Keynesian model with heterogeneous expectations, Fuzzy options with application to default risk analysis for municipal bonds in China, A simple asset pricing model with social interactions and heterogeneous beliefs, Explaining fashion cycles: imitators chasing innovators in product space, Behavioral heterogeneity in stock prices, Monetary policy with a state-dependent inflation target in a behavioral two-country monetary union model, Estimation of agent-based models: The case of an asymmetric herding model, The strategic exploitation of limited information and opportunity in networked markets, Computation as economics, Heterogeneous beliefs and routes to chaos in a simple asset pricing model, An evolutionary game theory explanation of ARCH effects, Power-law behaviour, heterogeneity, and trend chasing, More hedging instruments may destabilize markets, Fundamentals and technical trading: Behavior of exchange rates in the CEECs, Experimentation, imitation, and stochastic stability, Stability analysis of a cobweb model with market interactions, Chaos in the cobweb model with a new learning dynamic, Learning games, Heterogeneous expectations, sunspot equilibria and their fragility, Dynamics of beliefs and learning under \(a_{L}\)-processes -- the heterogeneous case, Two destabilizing strategies may be jointly stabilizing, Endogenous fluctuations under evolutionary pressure in Cournot competition, On the transition from local regular to global irregular fluctuations