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  1. Complex dynamics in a nonlinear duopoly model with heuristic expectation formation and learning behavior
    Autor*in: Mignot, Sarah; Tramontana, Fabio; Westerhoff, Frank H.
    Erschienen: [2023]
    Verlag:  Bamberg Economic Research Group, Bamberg University, Bamberg

    We develop a nonlinear duopoly model in which the heuristic expectation formation and learning behavior of two boundedly rational firms may engender complex dynamics. Most importantly, we assume that the firms employ different forecasting models to... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 19
    Fernleihe:
    keine Fernleihe

     

    We develop a nonlinear duopoly model in which the heuristic expectation formation and learning behavior of two boundedly rational firms may engender complex dynamics. Most importantly, we assume that the firms employ different forecasting models to predict the behavior of their opponent. Moreover, the firms learn by leaning more strongly on forecasting models that yield more precise predictions. An eight-dimensional nonlinear map drives the dynamics of our approach. We analytically derive the conditions under which its unique steady state is locally stable and numerically study its out-of-equilibrium behavior. In doing so, we detect multiple scenarios with coexisting attractors at which the firms' behavior yields distinctively different market outcomes.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9783949224089
    Weitere Identifier:
    hdl: 10419/273389
    Schriftenreihe: BERG working paper series ; no. 187 (June 2023)
    Schlagworte: Duopoly model; heuristic expectation formation; learning behavior; nonlinear dynamics; stability and bifurcation analysis; coexisting attractors
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  2. Volatility clustering
    a nonlinear theoretical approach
    Autor*in: He, Xue-zhong; Li, Kai; Wang, Chuncheng
    Erschienen: [2015]
    Verlag:  Quantitative Finance Research Centre, University of Technology Sydney, Sydney

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Research paper / Quantitative Finance Research Centre, University of Technology Sydney ; 365 (November 2015)
    Schlagworte: volatility clustering; fundamentalists and trend followers; bounded rationality; stability; coexisting attractors
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen