Journal article | Zeitschriftenartikel

Bifurcation Routes to Volatility Clustering under Evolutionary Learning

A simple asset pricing model with two types of boundedly rational traders, fundamentalists and chartists, is studied. Fractions of trader types change over time according to evolutionary learning, with chartists conditioning their forecasting rule upon deviations from a benchmark fundamental. Volatility clustering arises endogenously and two generic mechanisms are proposed as an explanation: (1) coexistence of a stable steady state and a stable limit cycle, due to a so-called Chenciner bifurcation of the system and (2) intermittency and associated bifurcation routes to strange attractors. Economic intuition as to why these phenomena arise in nonlinear multi-agent evolutionary systems is provided.

Urheber*in: Gaunersdorfer, Andrea; Hommes, Cars H.; Wagener, Florian O.O.

Free access - no reuse

Extent: Seite(n): 27-47

Language: Englisch

Notes: Status: Postprint; begutachtet (peer reviewed)

Bibliographic citation: Journal of Economic Behavior & Organization, 67(1)

Subject: Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Volkswirtschaftstheorie

Event: Geistige Schöpfung

(who): Gaunersdorfer, Andrea
Hommes, Cars H.
Wagener, Florian O.O.

Event: Veröffentlichung

(where): Niederlande

(when): 2008

DOI: https://doi.org/10.1016/j.jebo.2007.07.004

URN: urn:nbn:de:0168-ssoar-253898

Rights: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln

Last update: 21.06.2024, 4:27 PM CEST

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Zeitschriftenartikel

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Gaunersdorfer, Andrea
Hommes, Cars H.
Wagener, Florian O.O.

Time of origin

2008

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Bifurcation Routes to Volatility Clustering under Evolutionary Learning

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Other Objects (12)

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