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E&F Chaos: a user friendly software package for nonlinear economic dynamics

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Author Info

  • Diks, C.G.H.

    ()
    (Universiteit van Amsterdam)

  • Hommes, C.H.

    (Universiteit van Amsterdam)

  • Panchenko, V.

    ()
    (University of New South Wales)

  • Weide, R. van der

    ()
    (World Bank)

Abstract

The use of nonlinear dynamic models in economics and finance has expanded rapidly in the last two decades. Numerical simulation is crucial in the investigation of nonlinear systems. E&F Chaos is an easy-to-use and freely available software package for simulation of nonlinear dynamic models to investigate stability of steady states and the presence of periodic orbits and chaos by standard numerical simulation techniques such as time series, phase plots, bifurcation diagrams, Lyapunov exponent plots, basin boundary plots and graphical analysis. The package contains many well-known nonlinear models, including applications in economics and finance, and is easy to use for non-specialists. New models and extensions or variations are easy to implement within the software package without the use of a compiler or other software. The software is demonstrated by investigating the dynamical behavior of some simple examples of the familiar cobweb model, including an extension with heterogeneous agents and asynchronous updating of strategies. Simulations with the E&F chaos software quickly provide information about local and global dynamics and easily lead to challenging questions for further mathematical analysis.

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File URL: http://www1.fee.uva.nl/cendef/publications/papers/cendef-06-15.pdf
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Bibliographic Info

Paper provided by Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance in its series CeNDEF Working Papers with number 06-15.

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Date of creation: 2006
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Handle: RePEc:ams:ndfwpp:06-15

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Postal: Dept. of Economics and Econometrics, Universiteit van Amsterdam, Roetersstraat 11, NL - 1018 WB Amsterdam, The Netherlands
Phone: + 31 20 525 52 58
Fax: + 31 20 525 52 83
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Web page: http://www.fee.uva.nl/cendef/
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References

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  1. Boldrin, Michele & Woodford, Michael, 1990. "Equilibrium models displaying endogenous fluctuations and chaos : A survey," Journal of Monetary Economics, Elsevier, vol. 25(2), pages 189-222, March.
  2. Grandmont, Jean-Michel, 1985. "On Endogenous Competitive Business Cycles," Econometrica, Econometric Society, vol. 53(5), pages 995-1045, September.
  3. Brock, W.A. & Hommes, C.H., 1996. "A Rational Route to Randomness," Working papers 9530r, Wisconsin Madison - Social Systems.
  4. Medio,Alfredo & Gallo,Giampaolo, 1995. "Chaotic Dynamics," Cambridge Books, Cambridge University Press, number 9780521484619, October.
  5. Diks, Cees & van der Weide, Roy, 2005. "Herding, a-synchronous updating and heterogeneity in memory in a CBS," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 741-763, April.
  6. Medio,Alfredo & Lines,Marji, 2001. "Nonlinear Dynamics," Cambridge Books, Cambridge University Press, number 9780521551861, October.
  7. Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
  8. Jeff Racine, 2006. "gnuplot 4.0: a portable interactive plotting utility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 133-141.
  9. Hommes, Cars & Huang, Hai & Wang, Duo, 2005. "A robust rational route to randomness in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 29(6), pages 1043-1072, June.
  10. Tesfatsion, Leigh & Judd, Kenneth L., 2006. "Handbook of Computational Economics, Vol. 2: Agent-Based Computational Economics," Staff General Research Papers 10368, Iowa State University, Department of Economics.
  11. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
  12. Chiarella, Carl, 1988. "The cobweb model: Its instability and the onset of chaos," Economic Modelling, Elsevier, vol. 5(4), pages 377-384, October.
  13. Hommes, Cars H., 1994. "Dynamics of the cobweb model with adaptive expectations and nonlinear supply and demand," Journal of Economic Behavior & Organization, Elsevier, vol. 24(3), pages 315-335, August.
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Citations

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Cited by:
  1. Bask, Mikael, 2007. "Long swings and chaos in the exchange rate in a DSGE model with a Taylor rule," Research Discussion Papers 19/2007, Bank of Finland.
  2. Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov, 2013. "Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions," Discussion Papers 2013-18, School of Economics, The University of New South Wales.
  3. Luis-Felipe Zanna & Marco Airaudo, 2012. "Interest Rate Rules, Endogenous Cycles, and Chaotic Dynamics in Open Economies," IMF Working Papers 12/121, International Monetary Fund.
  4. Waters, George A., 2009. "Chaos in the cobweb model with a new learning dynamic," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1201-1216, June.
  5. Prettner, Klaus, 2012. "Public education, technological change and economic prosperity: semi-endogenous growth revisited," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 65414, Verein für Socialpolitik / German Economic Association.
  6. Xin, Baogui & Chen, Tong, 2011. "On a master-slave Bertrand game model," Economic Modelling, Elsevier, vol. 28(4), pages 1864-1870, July.
  7. P. Luizi & F. Cruz & J. Graaf, 2010. "Assessing the Quality of Pseudo-Random Number Generators," Computational Economics, Society for Computational Economics, vol. 36(1), pages 57-67, June.
  8. Choudhary, M. Ali & Michael Orszag, J., 2008. "A cobweb model with local externalities," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 821-847, March.
  9. Prettner, Klaus, 2012. "Public education and economic prosperity: Semi-endogenous growth revisited," ECON WPS - Vienna University of Technology Working Papers in Economic Theory and Policy 02/2012, Vienna University of Technology, Institute for Mathematical Methods in Economics, Research Group Economics (ECON).
  10. Peter Flaschel & Florian Hartmann & Chris Malikane & Christian R. Proaño, 2014. "A Behavioral Macroeconomic Model of Exchange Rate Fluctuations with Complex Market Expectations Formation," Working Papers 98, Institute of Empirical Economic Research, revised 29 Jan 2014.

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