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Rational expectations and stochastic systems

Author

Listed:
  • Jørgen Vitting Andersen

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Roy Cerqueti

    (UNIMC - Università degli Studi di Macerata = University of Macerata)

  • Jessica Riccioni

    (UNIMC - Università degli Studi di Macerata = University of Macerata)

Abstract

This paper proposes a stochastic model for describing rational expectations. The context is systemic risk, with interconnected components of a unified system. The evolution dynamics leading to the failure of the system is explored either under a theoretical point of view as well as through an extensive scenario analysis.

Suggested Citation

  • Jørgen Vitting Andersen & Roy Cerqueti & Jessica Riccioni, 2019. "Rational expectations and stochastic systems," Post-Print halshs-01673338, HAL.
    • Handle: RePEc:hal:journl:halshs-01673338
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01673338v2
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    as
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    More about this item

    Keywords

    systemic risk; reliability; stochastic system; Rational expectation; finance; evolutionary economics;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises

    NEP fields

    This paper has been announced in the following NEP Reports:

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