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

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  • Brock,W.A.
  • Hommes,C.H.

    (University of Wisconsin-Madison, Social Systems Research Institute)

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  • Brock,W.A. & Hommes,C.H., 2002. "Heterogeneous beliefs and routes to complex dynamics in asset pricing models with price contingent contracts," Working papers 3, Wisconsin Madison - Social Systems.
    • Handle: RePEc:att:wimass:20023
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    File URL: http://www.ssc.wisc.edu/econ/archive/wp2002-3.pdf
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    References listed on IDEAS

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    1. de Fontnouvelle, Patrick, 2000. "Information Dynamics In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 4(2), pages 139-169, June.
    2. Brock,W.A. & Hommes,C.H., 2001. "Evolutionary dynamics in financial markets with many trader types," Working papers 7, Wisconsin Madison - Social Systems.
    3. Brock, W.A., 1990. "Overlapping generations models with money and transactions costs," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 7, pages 263-295, Elsevier.
    4. C. H. Hommes, 2001. "Financial markets as nonlinear adaptive evolutionary systems," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 149-167.
    5. David K. Levine & William R. Zame, 2002. "Does Market Incompleteness Matter?," Econometrica, Econometric Society, vol. 70(5), pages 1805-1839, September.
    6. Andrea Gaunersdorfer & Cars Hommes, 2007. "A Nonlinear Structural Model for Volatility Clustering," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 265-288, Springer.
    7. Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489.
    8. Sanford Grossman, 1989. "The Informational Role of Prices," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262572141, December.
    9. Brock, William A. & de Fontnouvelle, Patrick, 2000. "Expectational diversity in monetary economies," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 725-759, June.
    10. William A. Brock & Cars H. Hommes, 1997. "A Rational Route to Randomness," Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
    11. Magill, Michael & Shafer, Wayne, 1991. "Incomplete markets," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 30, pages 1523-1614, Elsevier.
    12. repec:cup:macdyn:v:4:y:2000:i:2:p:139-69 is not listed on IDEAS
    13. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    14. William A. Brock & Cars H. Hommes, 2001. "A Rational Route to Randomness," Chapters, in: W. D. Dechert (ed.), Growth Theory, Nonlinear Dynamics and Economic Modelling, chapter 16, pages 402-438, Edward Elgar Publishing.
    15. W. Hildenbrand & H. Sonnenschein (ed.), 1991. "Handbook of Mathematical Economics," Handbook of Mathematical Economics, Elsevier, edition 1, volume 4, number 4.
    16. Brock, W.A., 1996. "Asset Price Behavior in Complex Environments," Working papers 9606, Wisconsin Madison - Social Systems.
    17. Roger Guesnerie, 2001. "Assessing Rational Expectations: Sunspot Multiplicity and Economic Fluctuations," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262072076, December.
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    Cited by:

    1. Yang, J-H.S. & Satchell, S.E., 2003. "Endogenous Correlation," Cambridge Working Papers in Economics 0321, Faculty of Economics, University of Cambridge.
    2. Sansone, Alessandro & Garofalo, Giuseppe, 2007. "Asset price dynamics in a financial market with heterogeneous trading strategies and time delays," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 247-257.
    3. Verbic, Miroslav, 2006. "Memory and Asset Pricing Models with Heterogeneous Beliefs," MPRA Paper 1261, University Library of Munich, Germany.
    4. Orlando Gomes, 2004. "A Continuous-Time Asset Pricing Model with Boundedly Rational Heterogeneous Agents," Finance 0409055, University Library of Munich, Germany.

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