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

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