Bifurcation Routes to Volatility Clustering under Evolutionary Learning

Gaunersdorfer, Andrea; Hommes, Cars H.; Wagener, Florian O.O.

[journal article]

dc.contributor.author	Gaunersdorfer, Andrea	de
dc.contributor.author	Hommes, Cars H.	de
dc.contributor.author	Wagener, Florian O.O.	de
dc.date.accessioned	2011-06-08T02:42:00Z	de
dc.date.accessioned	2012-08-29T23:08:11Z
dc.date.available	2012-08-29T23:08:11Z
dc.date.issued	2008	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/25389
dc.description.abstract	A simple asset pricing model with two types of boundedly rational traders, fundamentalists and chartists, is studied. Fractions of trader types change over time according to evolutionary learning, with chartists conditioning their forecasting rule upon deviations from a benchmark fundamental. Volatility clustering arises endogenously and two generic mechanisms are proposed as an explanation: (1) coexistence of a stable steady state and a stable limit cycle, due to a so-called Chenciner bifurcation of the system and (2) intermittency and associated bifurcation routes to strange attractors. Economic intuition as to why these phenomena arise in nonlinear multi-agent evolutionary systems is provided.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Multi-agent systems; Bounded rationality; Evolutionary learning; Bifurcations and chaos; Coexisting attractors
dc.title	Bifurcation Routes to Volatility Clustering under Evolutionary Learning	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Journal of Economic Behavior & Organization	de
dc.source.volume	67	de
dc.publisher.country	NLD
dc.source.issue	1	de
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	National Economy	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.classoz	Volkswirtschaftstheorie	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-253898	de
dc.date.modified	2011-06-09T15:11:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	27-47
internal.identifier.classoz	1090301
internal.identifier.classoz	10905
internal.identifier.journal	196	de
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1016/j.jebo.2007.07.004	de
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics
Volkswirtschaftstheorie
Economic Theory

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