Arbeitspapier
Heterogeneous Agent Models: Two Simple Case Studies
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 05-055/1
- Klassifikation
-
Wirtschaft
Expectations; Speculations
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
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
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hommes, Cars
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hommes, Cars
- Tinbergen Institute
Entstanden
- 2005
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