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.(...)

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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

Table of Contents
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1 Introduction
2 The model
3 Stability analysis of the fundamental steady state
4 Global structure of the bifurcation diagram
5 Chaos
6 A normal form with noise
7 Conclusions
A Normal form computations

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