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Bifurcation Routes to Volatility Clustering under Evolutionary Learning
[Zeitschriftenartikel]
Abstract 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. Volati... mehr
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.... weniger
Klassifikation
Volkswirtschaftstheorie
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter
Multi-agent systems; Bounded rationality; Evolutionary learning; Bifurcations and chaos; Coexisting attractors
Sprache Dokument
Englisch
Publikationsjahr
2008
Seitenangabe
S. 27-47
Zeitschriftentitel
Journal of Economic Behavior & Organization, 67 (2008) 1
DOI
https://doi.org/10.1016/j.jebo.2007.07.004
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)