Heterogeneous Agent Models: Two Simple Case Studies

Arbeitspapier

These notes review two simple heterogeneous agent models in economics and finance. The first is a cobweb model with rational versus naive agents introduced in Brock and Hommes (1997). The second is an asset pricing model with fundamentalists versus technical traders introduced in Brock and Hommes (1998). Agents are boundedly rational and switch between different trading strategies, based upon an evolutionary fitness measure given by realized past profits. Evolutionary switching creates a nonlinearity in the dynamics. Rational routes to randomness, that is, bifurcation routes to complicated dynamical behaviour occur when agents become more sensitive to differences in evolutionary fitness.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. 05-055/1

Classification and Topics

• Classification: Wirtschaft ; Expectations; Speculations ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: interacting agents ; complex adaptive systems ; evolutionary dynamics ; bounded rationality ; nonlinear dynamics ; bifurcations and chaos. ; Chaostheorie ; Beschränkte Rationalität ; Anpassung ; Theorie ; Agentenbasierte Modellierung ; Soziale Beziehungen ; Nichtlineare dynamische Systeme

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hommes, Cars
• Event: Veröffentlichung
• (who): Tinbergen Institute
• (where): Amsterdam and Rotterdam
• (when): 2005

Further information

• Handle: http://hdl.handle.net/10419/86201
• Last update: 10.03.2025, 11:45 AM CET