Heterogeneous beliefs and and routes to complez dynamics in asset pricing models with price contingent contracts

This paper discusses dynamic evolutionary multi-agent systems, as introduced by Brock and Hommes (1997). In particular the heterogeneous agent dynamic asset pricing model of Brock and Hommes (1998) is extended by introducing derivative securities by means of price contingent contracts. Numerical simulations suggest that in a boundedly rational heterogeneous evolutionary world futures markets may be destabilizing.

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Year of publication:	2001
Authors:	Brock, W.A. ; Hommes, C.H.
Institutions:	Center for Nonlinear Dynamics in Economics and Finance (CeNDEF), Faculteit Economie en Bedrijfskunde

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Extent:	application/pdf
Series:	CeNDEF Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series CeNDEF Working Papers Number 01-05
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005823287