A Rational Route to Randomness

DOI10.2307/2171879zbMATH Open0898.90042OpenAlexW2145930759MaRDI QIDQ4359765FDOQ4359765

Authors: William A. Brock, Cars 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

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zbMATH Keywords

business cyclesstrange attractorhomoclinic orbitheterogeneous beliefsadaptive learninghomoclinic bifurcationscobweb modeladaptively rational equilibrium

Mathematics Subject Classification ID

Special types of economic equilibria (91B52) Economic growth models (91B62)

Cited In (only showing first 100 items - show all)

• Econometric analysis of microscopic simulation models
• QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
• A PRICE ADJUSTMENT PROCESS IN A MODEL OF MONOPOLISTIC COMPETITION
• Model uncertainty and policy evaluation: some theory and empirics
• Heterogeneous beliefs and trading inefficiencies
• INDIVIDUAL EXPECTATIONS AND AGGREGATE BEHAVIOR IN LEARNING-TO-FORECAST EXPERIMENTS
• Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
• On the transition from local regular to global irregular fluctuations
• Equilibria in systems of social interactions
• Complex economic dynamics: Chaotic saddle, crisis and intermittency
• Popularity of reinforcement-based and belief-based learning models: an evolutionary approach
• The Euro/Dollar exchange rate: chaotic or non-chaotic? A continuous time model with heterogeneous beliefs
• Evolution of forecast disagreement in a Bayesian learning model
• A class of evolutionary models for participation games with negative feedback
• A robust rational route to randomness in a simple asset pricing model
• The strategic exploitation of limited information and opportunity in networked markets
• Multiple equilibria and limit cycles in evolutionary games with logit dynamics
• Heterogeneity, nonlinearity and endogenous market volatility
• Adjustable and fixed interest rates mortgage markets modelling
• Imitators and optimizers in a changing environment
• An evolutionary approach to learning in a changing environment.
• Learning with bounded memory in stochastic models
• Stability properties for learning with heterogeneous expectations and multiple equilibria
• Animal spirits in the foreign exchange market
• Individual expectations, limited rationality and aggregate outcomes
• Structural stochastic volatility in asset pricing dynamics: estimation and model contest
• Are the representative agent's beliefs based on efficient econometric models?
• Heterogeneity in stock prices: a STAR model with multivariate transition function
• Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics
• Credit market dynamics: a cobweb model
• Financial power laws: empirical evidence, models, and mechanisms
• Animal spirits and monetary policy
• Business cycle amplification with heterogeneous expectations
• Monetary policy and heterogeneous expectations
• Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
• Evolutionary dynamics in markets with many trader types
• Stability and chaos in demand-based pricing under social interactions
• Behavioral heterogeneity in the option market
• Expectational stability of sunspot equilibria in non-convex economies
• An analysis of the effect of noise in a heterogeneous agent financial market model
• The heterogeneous expectations hypothesis: Some evidence from the lab
• Commodity markets, price limiters and speculative price dynamics
• Stability analysis of a cobweb model with market interactions
• Dynamics of beliefs and learning under \(a_{L}\)-processes -- the heterogeneous case
• Informational differences and learning in an asset market with boundedly rational agents
• Evolutionary competition in a mixed market with socially concerned firms
• On learning equilibria
• Formation of rationally heterogeneous expectations
• Dynamic interaction models of economic equilibrium
• Booms, busts and behavioural heterogeneity in stock prices
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• E\&F Chaos: A user friendly software package for nonlinear economic dynamics
• Cattle cycles, heterogeneous expectations and the age distribution of capital
• Herding, a-synchronous updating and heterogeneity in memory in a CBS
• 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
• Sticky information and model uncertainty in survey data on inflation expectations
• A simple asset pricing model with social interactions and heterogeneous beliefs
• Behavioral heterogeneity in stock prices
• Estimation of agent-based models: The case of an asymmetric herding model
• Power-law behaviour, heterogeneity, and trend chasing
• Dynamic predictor selection in a New Keynesian model with heterogeneous expectations
• Endogenous fluctuations under evolutionary pressure in Cournot competition
• Could myopic pricing be a strategic choice in marketing channels? A game theoretic analysis
• On non-ergodic asset prices
• Complex dynamics in a nonlinear cobweb model for real estate market
• How equilibrium prices reveal information in a time series model with disparately informed, competitive traders
• Expectation-stock dynamics in multi-agent fisheries
• Stochastic adaptation in finite games played by heterogeneous populations
• Intrinsic heterogeneity in expectation formation
• Stability, chaos and multiple attractors: a single agent makes a difference
• Optimal monetary policy in a New Keynesian model with heterogeneous expectations
• Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
• Price competition in a nonlinear differentiated duopoly
• Bifurcation analysis of a dynamic duopoly model with heterogeneous costs and behavioural rules
• Expectational diversity in monetary economies
• Heterogeneous beliefs and the non-linear cobweb model
• Dynamical regimes due to technological change in a microeconomical model of production
• Chaotic dynamics in a two-dimensional overlapping generations model.
• A New Keynesian model with heterogeneous expectations
• Asset prices, traders' behavior and market design
• Price stability and volatility in markets with positive and negative expectations feedback: an experimental investigation
• Estimating the intensity of choice in a dynamic mutual fund allocation decision
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Analysis of global bifurcations in a market share attraction model
• ECONOPHYSICS AND ECONOMIC COMPLEXITY
• Time-varying consumer disagreement and future inflation
• Heterogeneity, convergence, and autocorrelations
• Global bifurcations, credit rationing and recurrent hyperinflations
• Experimentation, imitation, and stochastic stability
• LEARNING TO FORECAST AND CYCLICAL BEHAVIOR OF OUTPUT AND INFLATION
• Explaining fashion cycles: imitators chasing innovators in product space
• LEARNING IN COBWEB EXPERIMENTS
• LEARNING FROM THE EXPECTATIONS OF OTHERS
• Learning cycles in Bertrand competition with differentiated commodities and competing learning rules
• The bull and bear market model of Huang and Day: some extensions and new results
• Adaptive expectations and cobweb phenomena: does heterogeneity matter?
• The financial instability hypothesis: a stochastic microfoundation framework
• A \((Q,R)\) model for fuzzified deterioration under cobweb phenomenon and permissible delay in payment
• Business-cycle models and the dangers of linearizing

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