Original title:
Bifurcation routes in financial markets
Authors:
Vošvrda, Miloslav Document type: Papers Conference/Event: International Conference Mathematical Methods in Economics 2001 /19./, Hradec Králové (CZ), 2001-09-05 / 2001-09-07
Year:
2001
Language:
eng Abstract:
The heterogeneity of expectations among traders introduces an important non-linearity into the financial markets. In a series of papers, Brock and Hommes, propose to model economic and financial markets as adaptive belief systems. Asset price fluctuations in adaptive belief systems are characterized by phases of close-to-the-fundamental-price fluctuations, phases of optimism where most agents follow an upward price trend, and phases of pessimism with small or large market crashes.
Keywords:
adaptive belief systems; forecasting rules; heterogeneity of expectations Project no.: AV0Z1075907 (CEP), GA402/00/0136 (CEP), GA402/01/0034 (CEP), GA402/01/0539 (CEP) Funding provider: GA ČR, GA ČR, GA ČR Host item entry: Proceedings of the 19th International Conference on Mathematical Methods in Economics 2001
Institution: Institute of Information Theory and Automation AS ČR
(web)
Document availability information: Fulltext is available at the institute of the Academy of Sciences. Original record: http://hdl.handle.net/11104/0130711