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Abstract: This paper investigates the dynamics in a simple present discounted value asset pricing model with heterogeneous beliefs. Agents choose from a finite set of predictors of future prices of a risky asset and revise their `beliefs' in each period in a boundedly rational way, according to a `fitness measure' such as past realized profits. Price fluctuations are thus driven by an evolutionary dynamics between different expectation schemes (`rational animal spirits'). Using a mixture of local... (Update)
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...complex behaviour from local stability to high order cycles and chaos as various key parameters of the model change. The model of Brock and Hommes (1998) has been extended in Chiarella and He (2000b) 2001b) by allowing agents to have different risk attitudes and different...
...beliefs or trading strategies, coupled to the dynamics of the endogenous variables. In a series of papers Brock and Hommes [BH2] [BH3], BH4] Gaunersdorfer [G1] and Gaunersdorfer and Hommes [GH] have applied this concept to a simple asset pricing model. For a...
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BibTeX entry: (Update)
Brock, W. A. & Hommes, C. H. (1998), `Heterogeneous beliefs and routes to chaos in a simple asset pricing model', Journal of Economic Dynamics and Control 22(8-9), 1235--1274. http://citeseer.ist.psu.edu/brock98heterogeneous.html More
@article{ brock97heterogeneous,
author = "W. A. Brock and C. H. Hommes",
title = "Heterogeneous beliefs and routes to chaos in a simple asset pricing model",
journal = "J. E. D. C.",
year = "1997",
url = "citeseer.ist.psu.edu/brock98heterogeneous.html" }
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