Heterogeneous beliefs and and routes to complez dynamics in asset pricing models with price contingent contracts
This paper discusses dynamic evolutionary multi-agent systems, as introduced by Brock and Hommes (1997). In particular the heterogeneous agent dynamic asset pricing model of Brock and Hommes (1998) is extended by introducing derivative securities by means of price contingent contracts. Numerical simulations suggest that in a boundedly rational heterogeneous evolutionary world futures markets may be destabilizing.
|Date of creation:||2001|
|Date of revision:|
|Contact details of provider:|| Postal: Dept. of Economics and Econometrics, Universiteit van Amsterdam, Roetersstraat 11, NL - 1018 WB Amsterdam, The Netherlands|
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- Gaunersdorfer, A. & Hommes, C.H., 2005.
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CeNDEF Working Papers
05-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Gaunersdorfer, A. & Hommes, C.H., 2000. "A Nonlinear Structural Model for Volatility Clustering," CeNDEF Working Papers 00-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
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- Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489.
- Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2001.
"Evolutionary Dynamics in Financial Markets With Many Trader Types,"
CeNDEF Working Papers
01-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Brock,W.A. & Hommes,C.H., 2001. "Evolutionary dynamics in financial markets with many trader types," Working papers 7, Wisconsin Madison - Social Systems.
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- Brock, W.A., 1990. "Overlapping generations models with money and transactions costs," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 7, pages 263-295 Elsevier.
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"A Rational Route to Randomness,"
Econometric Society, vol. 65(5), pages 1059-1096, September.
- Brock, William A. & Hommes, Cars H., 1998.
"Heterogeneous beliefs and routes to chaos in a simple asset pricing model,"
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Elsevier, vol. 22(8-9), pages 1235-1274, August.
- Roger Guesnerie, 2001. "Assessing Rational Expectations: Sunspot Multiplicity and Economic Fluctuations," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262072076, June.
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