کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9726630 | 1479286 | 2005 | 36 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Evolutionary dynamics in markets with many trader types
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
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چکیده انگلیسی
This paper develops the notion of a large type limit (LTL) describing the dynamical behavior of heterogeneous markets with many trader types. It is shown that generic and persistent features of adaptive evolutionary systems with many trader types are well described by the large type limit. Stability, bifurcation routes to instability and strange attractors in a simple evolutionary financial market model are studied. An increase in the “intensity of adaption” or in the diversity of beliefs may lead to deviations from an unstable RE fundamental benchmark and excess volatility. A large evolutionary system may thus become unstable and complicated dynamics may arise when agents become sensitive to small differences in fitness.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Economics - Volume 41, Issues 1â2, February 2005, Pages 7-42
Journal: Journal of Mathematical Economics - Volume 41, Issues 1â2, February 2005, Pages 7-42
نویسندگان
William A. Brock, Cars H. Hommes, Florian O.O. Wagener,