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Models of Compelxity in Economics and Finance

Author

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  • Brock, W.A.
  • Hommes, C.H.

Abstract

We have set out a general framework for adaptive belief systems in asset pricing thery. Fluctuations in prices and returns are driven by an evolutionary dynamics between traders with different expectations about prices.

Suggested Citation

  • Brock, W.A. & Hommes, C.H., 1997. "Models of Compelxity in Economics and Finance," Working papers 9706, Wisconsin Madison - Social Systems.
  • Handle: RePEc:att:wimass:9706
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    File URL: http://www.ssc.wisc.edu/econ/archive/wp9706.pdf
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    References listed on IDEAS

    as
    1. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    2. William A. Brock & Cars H. Hommes, 1997. "A Rational Route to Randomness," Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
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    6. Rosen, Sherwin & Murphy, Kevin M & Scheinkman, Jose A, 1994. "Cattle Cycles," Journal of Political Economy, University of Chicago Press, pages 468-492.
    7. Brock, William A & LeBaron, Blake D, 1996. "A Dynamic Structural Model for Stock Return Volatility and Trading Volume," The Review of Economics and Statistics, MIT Press, pages 94-110.
    8. Brock, William A & LeBaron, Blake D, 1996. "A Dynamic Structural Model for Stock Return Volatility and Trading Volume," The Review of Economics and Statistics, MIT Press, pages 94-110.
    9. Boldrin, Michele & Woodford, Michael, 1990. "Equilibrium models displaying endogenous fluctuations and chaos : A survey," Journal of Monetary Economics, Elsevier, pages 189-222.
    10. Sorger, Gerhard, 1998. "Imperfect foresight and chaos: an example of a self-fulfilling mistake," Journal of Economic Behavior & Organization, Elsevier, vol. 33(3-4), pages 363-383, January.
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    15. Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-896, July.
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    More about this item

    Keywords

    FINANCIAL MARKET ; FLUCTUATIONS;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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