Heterogeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model
Author | : William A. Brock |
Publisher | : |
Total Pages | : 40 |
Release | : 1999 |
Genre | : Assets (Accounting) |
ISBN | : |
Download Heterogeneous Beliefs And Routes To Chaos In A Simple Asset Pricing Model full books in PDF, epub, and Kindle. Read online free Heterogeneous Beliefs And Routes To Chaos In A Simple Asset Pricing Model ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author | : William A. Brock |
Publisher | : |
Total Pages | : 40 |
Release | : 1999 |
Genre | : Assets (Accounting) |
ISBN | : |
Author | : Carl Chiarella |
Publisher | : |
Total Pages | : 42 |
Release | : 2000 |
Genre | : Capital assets pricing model |
ISBN | : |
Author | : Christos H Skiadas |
Publisher | : World Scientific |
Total Pages | : 411 |
Release | : 2010-01-13 |
Genre | : Science |
ISBN | : 9814465283 |
This volume contains a collection of papers suggested by the Scientific Committee that includes the best papers presented in the 2nd International Conference (CHAOS2009) on Chaotic Modeling, Simulation and Applications, that was held in Chania, Crete, Greece, June 1-5, 2009. The aim of the conference was to invite and bring together people working in interesting topics of chaotic modeling, nonlinear and dynamical systems and chaotic simulation.The volume presents theoretical and applied contributions on chaotic systems. Papers from several nonlinear analysis and chaotic fields are included and new and very important results are presented. Emphasis was given to the selection of works that have significant impact in the chaotic field and open new horizons to further develop related topics and subjects. Even more the selected papers are addressed to an interdisciplinary audience aiming at the broad dissemination of the theory and practice of chaotic modeling and simulation and nonlinear science.
Author | : Jan Awrejcewicz |
Publisher | : BoD – Books on Demand |
Total Pages | : 360 |
Release | : 2012-10-24 |
Genre | : Mathematics |
ISBN | : 9535108166 |
Nonlinearity, Bifurcation and Chaos - Theory and Application is an edited book focused on introducing both theoretical and application oriented approaches in science and engineering. It contains 12 chapters, and is recommended for university teachers, scientists, researchers, engineers, as well as graduate and post-graduate students either working or interested in the field of nonlinearity, bifurcation and chaos.
Author | : Thomas Lux |
Publisher | : Springer Science & Business Media |
Total Pages | : 326 |
Release | : 2006-06-06 |
Genre | : Business & Economics |
ISBN | : 3540272968 |
Economic application of nonlinear dynamics, microscopic agent-based modelling, and the use of artificial intelligence techniques as learning devices of boundedly rational actors are among the most exciting interdisciplinary ventures of economic theory over the past decade. This volume provides us with a most fascinating series of examples on "complexity in action" exemplifying the scope and explanatory power of these innovative approaches.
Author | : Freddy Dumortier |
Publisher | : World Scientific |
Total Pages | : 1180 |
Release | : 2005-02-23 |
Genre | : Mathematics |
ISBN | : 9814480916 |
This comprehensive volume contains the state of the art on ODE's and PDE's of different nature, functional differential equations, delay equations, and others, mostly from the dynamical systems point of view.A broad range of topics are treated through contributions by leading experts of their fields, presenting the most recent developments. A large variety of techniques are being used, stressing geometric, topological, ergodic and numerical aspects.The scope of the book is wide, ranging from pure mathematics to various applied fields. Examples of the latter are provided by subjects from earth and life sciences, classical mechanics and quantum-mechanics, among others.The proceedings have been selected for coverage in:• Index to Scientific & Technical Proceedings® (ISTP® / ISI Proceedings)• Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)• CC Proceedings — Engineering & Physical Sciences
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2004 |
Genre | : |
ISBN | : |
In this paper we study the dynamics of a simple asset pricing model describing the trading activity of heterogeneous agents in a "stylized" market. The economy in the model contains two assets: a bond with risk-less return and a dividend paying stock. The price of the stock is determined through market clearing condition. Traders are speculators described as expected utility maximizers with heterogeneous beliefs about future stock price and with heterogeneous estimation of risk. In particular, we consider traders who base their investment decision on different time horizons and we analyze the effect of these differences on the price dynamics. Under suitable parameterization, the stock no-arbitrage "fundamental" price can emerge as a stable fixed point of the model dynamics. For different parameterizations, however, the market shows cyclical or chaotic price dynamics with speculative bubbles and crashes. We find that the sole heterogeneity of agents with respect to their time horizons is not enough to guarantee the instability of the fundamental price and the emergence of non-trivial price dynamics. However, if different groups of agents are characterized by different trading behaviors, the introduction of heterogeneous investment horizons can help to decrease the stability region of the "fundamental" fixed point. The role of time horizons turns out to be different for different trade behaviors and, in general, depends on the whole ecology of agents' beliefs. We demonstrate this effect discussing a case in which the increase of fundamentalists time horizons can lead to cyclical or chaotic price behavior, while the same increase for the chartists helps to stabilize the fundamental price. -- Asset pricing ; Heterogenous beliefs ; Investment horizons
Author | : John R. Birge |
Publisher | : Elsevier |
Total Pages | : 1026 |
Release | : 2007-11-16 |
Genre | : Business & Economics |
ISBN | : 9780080553252 |
The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.