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zurück | neue Suche | drucken Gaunersdorfer, Andrea; Hommes, Cars H.; Wagener, Florian O. O.: Bifurcation routes to volatility clustering Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science", Nr. 73, September 2000 SFB Adaptive Information Systems and Modelling in Economics and Management Science Wien, Wirtschaftsuniv., 2000 Daten im WU Online-Katalog | Nutzungsstatistik | Dokument ID: oai:epub.wu-wien.ac.at:epub-wu-01_df Volltext Download 43 Seiten/13887 kB © Urheberrechtshinweis Sie wollen einen permanenten Link direkt zu diesem Dokument, um ihn z.B. auf Ihrer Webseite zu platzieren? Benutzen Sie: http://epub.wu-wien.ac.at/dyn/openURL?id=oai:epub.wu-wien.ac.at:epub-wu-01_df  Abstract: A simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical analysts, is studied. Fractions of these trader types, which are both boundedly rational, change over time according to evolutionary learning, with technical analysts conditioning their forecasting rule upon deviations from a benchmark fundamental. Volatility clustering arises endogenously in this model. Two mechanisms are proposed as an explanation. The first is coexistence of a stable steady state and a stable limit cycle, which arise as a consequence of a so-called Chenciner bifurcation of the system. The second is intermittency and associated bifurcation routes to strange attractors. Both phenomena are persistent and occur generically in nonlinear multi-agent evolutionary systems. (author's abstract)  Schlagworte: Capital-asset-pricing-Modell / Mehragentensystem / eingeschränkte Rationalität / Verzweigung / multi-agent systems / bounded rationality / evolutionary learning / bifurcation and chaos / coexisting attractors  Klassifikation: JEL: E32 / G12 / D84 © 2009 Universitätsbibliothek, WU | Technologie und Infrastruktur: Inst. f. Informationswirtschaft | Erstellt für Sie am: 9.2.2010