Bifurcation routes to volatility clustering

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.(...)

MoreLess

Year of publication:	2000-09-06
Authors:	Gaunersdorfer, Andrea ; Hommes, Cars H. ; Wagener, Florian O. O.
Institutions:	Wirtschaftsuniversität <Wien>
Subject:	Capital-Asset-Pricing-Modell \| Eingeschränkte Rationalität \| Mehragentensystem \| Adaptive Erwartung

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	14258176 bytes 47 p. application/pdf
Series:	Wirtschaftsuniversität Wien - Forschungsbezogene elektronische Publikationen Working Papers SFB Adaptive Information Systems and Modelling in Economics and Management Science ; 73
Type of publication:	Book / Working Paper
Language:	English
Classification:	D84 - Expectations; Speculations ; E32 - Business Fluctuations; Cycles ; G12 - Asset Pricing ; Corporate finance and investment policy. General ; Financial theory ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005841642