Market equilibria under procedural rationality

DOI10.1016/J.JMATECO.2010.09.005zbMATH1232.91264OpenAlexW2120101972MaRDI QIDQ617618FDOQ617618

Authors Mikhail Anufriev, Giulio Bottazzi

Publication date 21 January 2011

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL http://cendef.uva.nl/binaries/content/assets/subsites/amsterdam-school-of-economics/amsterdam-school-of-economics-research-institute/cendef/working-papers-2009/market---generic.pdf?1363343339959

zbMATH Keywords

heterogeneous agentsmultiple equilibriastability analysisprocedural rationalityasset pricing modelCRRA frameworkequilibrium market curve

Mathematics Subject Classification ID

Utility theory (91B16) Special types of economic equilibria (91B52) Heterogeneous agent models (91B69)

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Cites work

• scientific article; zbMATH DE number 1792281 (Why is no real title available?)
• A dynamic analysis of moving average rules
• Asset Prices in an Exchange Economy
• Asset price and wealth dynamics in a financial market with heterogeneous agents
• Asset price and wealth dynamics under heterogeneous expectations
• Elements of applied bifurcation theory
• Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders
• Evolution and market behavior
• Evolutionary dynamics in markets with many trader types
• Evolutionary stability of portfolio rules in incomplete markets
• Evolutionary stable stock markets
• Expectations Formation and Stability of Large Socioeconomic Systems
• Globally evolutionarily stable portfolio rules
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Market selection and survival of investment strategies
• Nonlinear oscillations, dynamical systems, and bifurcations of vector fields
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• The dynamics of speculative behaviour
• Ways of learning in a simple economic setting: A comparison
• Wealth-driven competition in a speculative financial market: examples with maximizing agents

Cited in

(11)

• Necessary and sufficient conditions for the roots of a cubic polynomial and bifurcations of codimension-1, -2, -3 for 3D maps
• Evolution and market behavior with endogenous investment rules
• Rationality, property rights and thermodynamic approach to the market equilibrium
• Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders
• Asset prices and wealth dynamics in a financial market with random demand shocks
• Some reflections on past and future of nonlinear dynamics in economics and finance
• Procedural rationality, asset heterogeneity and market selection
• Excess covariance and dynamic instability in a multi-asset model
• Risk trading and endogenous probabilities in investment equilibria
• Empirical properties of a heterogeneous agent model in large dimensions
• Social contagion and the survival of diverse investment styles

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