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In: Economic Inquiry, Band 55, Heft 1, S. 542-564
SSRN
SSRN
Working paper
In: Tinbergen Institute Discussion Paper 13-205/II
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Working paper
In: Journal of economic dynamics & control, Band 30, Heft 9-10, S. 1729-1753
ISSN: 0165-1889
SSRN
Working paper
In: Journal of economic dynamics & control, Band 110, S. 103702
ISSN: 0165-1889
In: Dynamic games and applications: DGA, Band 8, Heft 4, S. 822-843
ISSN: 2153-0793
In: Journal of evolutionary economics, Band 27, Heft 5, S. 1133-1155
ISSN: 1432-1386
In: Journal of economic dynamics & control, Band 50, S. 62-77
ISSN: 0165-1889
In: Journal of economic dynamics & control, Band 36, Heft 8, S. 1101-1120
ISSN: 0165-1889
In: Journal of economic dynamics & control, Band 33, Heft 5, S. 1052-1072
ISSN: 0165-1889
In: Journal of Economic Behavior & Organization, Band 67, Heft 1, S. 27-47
A simple asset pricing model with two types of boundedly rational traders, fundamentalists and chartists, is studied. Fractions of trader types change over time according to evolutionary learning, with chartists conditioning their forecasting rule upon deviations from a benchmark fundamental. Volatility clustering arises endogenously and two generic mechanisms are proposed as an explanation: (1) coexistence of a stable steady state and a stable limit cycle, due to a so-called Chenciner bifurcation of the system and (2) intermittency and associated bifurcation routes to strange attractors. Economic intuition as to why these phenomena arise in nonlinear multi-agent evolutionary systems is provided.
In: Journal of economic dynamics & control, Band 31, Heft 6, S. 1938-1970
ISSN: 0165-1889
In: Journal of economic dynamics & control, Band 19, Heft 1-2, S. 155-179
ISSN: 0165-1889
