Adaptive beliefs and the volatility of asset prices.

zbMATH Open1034.91039MaRDI QIDQ5951602FDOQ5951602

Authors: Andrea Gaunersdorfer 

Publication date: 2001

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

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zbMATH Keywords

adaptive dynamicsbounded rationalitybifurcation and chaosheterogeneous expectationsevolutionary learningendogenous price fluctuations in financial markets

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cited In (26)

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• A nonlinear structural model for volatility clustering
• Market mood, adaptive beliefs and asset price dynamics
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• Financial markets as nonlinear adaptive evolutionary systems
• Does the ``uptick rule stabilize the stock market? Insights from adaptive rational equilibrium dynamics
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• A generalized ARFIMA model with smooth transition fractional integration parameter
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• Evolutionary Switching between Forecasting Heuristics: An Explanation of an Asset-Pricing Experiment
• An evolutionary alternative to rational expectations models of stock markets

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