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Schumpeterian Dynamics and Financial Market Anomalies

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Abstract

In this paper we try to put together both the dynamics of the endogenous evolution of an industry and the corresponding dynamics on the capital market. The first module of our modelling efforts is the endogenous evolution of the industry based on the micro-behaviour of boundedly rational agents. They strive to undertake entrepreneurial actions and found new firms. Thereby, the role of knowledge diffusion is emphasized. The second module, the capital market module, will also be represented by boundedly rational agents. They read the data of the real side of the economy – induced by the real economy module – interact with other investors and eventually derive their investment decisions. The cognitive process will be modelled using a neural network approach.

Suggested Citation

  • Thomas Grebel & Horst Hanusch & Esther Merey, 2004. "Schumpeterian Dynamics and Financial Market Anomalies," Discussion Paper Series 264, Universitaet Augsburg, Institute for Economics.
    • Handle: RePEc:aug:augsbe:0264
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    File URL: https://opus.bibliothek.uni-augsburg.de/opus4/files/71190/264.pdf
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    References listed on IDEAS

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    1. Thomas Grebel & Andreas Pyka & Horst Hanusch, 2004. "An evolutionary approach to the theory of entrepreneurship," Chapters, in: John Foster & Werner Hölzl (ed.), Applied Evolutionary Economics and Complex Systems, chapter 7, Edward Elgar Publishing.
    2. Daniel Kahneman & Amos Tversky, 2013. "Prospect Theory: An Analysis of Decision Under Risk," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 6, pages 99-127, World Scientific Publishing Co. Pte. Ltd..
    3. Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
    4. K. J. Arrow, 1964. "The Role of Securities in the Optimal Allocation of Risk-bearing," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 31(2), pages 91-96.
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    Cited by:

    1. Andreas Pyka & Uwe Cantner & Alfred Greiner & Thomas Kuhn (ed.), 2009. "Recent Advances in Neo-Schumpeterian Economics," Books, Edward Elgar Publishing, number 12982.

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    More about this item

    Keywords

    neural networks; financial markets; entrepreneurship; endogenous evolution;
    All these keywords.

    JEL classification:

    • O3 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights
    • M13 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - New Firms; Startups
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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