Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems

Online-Ressource (274 p)

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Cover; Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems; Title; copyright; Dedication; Contents; Figures; Preface; 1 Introduction; 1.1 Economic dynamics, nonlinearity and complexity; 1.1.1 The discovery of chaos; 1.1.2 Economic applications of chaos; 1.1.3 Expectations; 1.1.4 Bounded rationality and adaptive learning; 1.1.5 Heterogeneity in complex adaptive systems; 1.1.6 Behavioral rationality and heterogeneous expectations; 1.2 Adaptive expectations in a nonlinear economy; 1.3 Rational versus naive expectations; 1.4 Adaptive learning

1.4.1 Cobweb learning-to-forecast experiments1.5 Behavioral rationality and heterogeneous expectations; 1.6 Financial markets as complex adaptive systems; 1.6.1 Estimation of a model with fundamentalists versus chartists; 1.7 Learning-to-forecast experiments; 1.8 Simple complex systems; 1.9 Purpose and summary of the book; 2 Bifurcations and chaos in 1-D systems; 2.1 Monotonic maps; 2.2 The quadratic difference equation; 2.2.1 Steady states and stability; 2.2.2 Periodic and aperiodic time series; 2.3 Bifurcations; 2.3.1 Period-doubling bifurcation; 2.3.2 Tangent bifurcation

2.3.3 Transcritical bifurcation2.3.4 Pitchfork bifurcation; 2.4 Chaos; 2.4.1 An example; 2.4.2 Period 3 implies chaos; 2.4.3 A chaotic invariant Cantor set; 2.5 Lyapunov exponent; 2.6 Chaos and autocorrelations; 3 Bifurcations and strange attractors in 2-D systems; 3.1 The Hénon map; 3.2 Bifurcations; 3.2.1 Saddle-node and period-doubling bifurcation; 3.2.2 Hopf bifurcation; 3.2.3 Breaking of an invariant circle bifurcation route to chaos; 3.2.4 A codimension two bifurcation: degenerate Hopf bifurcation; 3.3 The horseshoe map; 3.4 Homoclinic orbits; 3.5 Lyapunov characteristic exponents

4 The nonlinear cobweb model4.1 The cobweb model; 4.2 Naive expectations; 4.3 Rational expectations; 4.4 Naive expectations in a complex market; 4.5 Adaptive expectations; 4.6 Linear backward-looking expectations; 4.6.1 LBE with two lags; 4.6.2 LBE with many lags; 4.7 A behaviorally rational linear forecasting rule; 4.7.1 Consistent expectations equilibrium; 4.7.2 Sample autocorrelation (SAC) learning; 4.7.3 Chaotic consistent expectations equilibrium; 4.8 Learning to believe in chaos; 5 The cobweb model with heterogeneous expectations; 5.1 Heterogeneous expectations

5.1.1 Evolutionary selection and reinforcement learning5.2 Rational versus naive expectations; 5.2.1 Local (in)stability of the steady state; 5.2.2 A rational route to randomness; 5.2.3 Saddle point instability and homoclinic orbits; 5.2.4 Coexistence of attractors; 5.3 Competing linear forecasting rules; 5.3.1 Fundamentalists versus naive expectations; 5.3.2 Contrarians versus naive expectations; 5.4 Evolutionary selection and adaptive learning; 6 An asset pricing model with heterogeneous beliefs; 6.1 The homogeneous benchmark with rational agents; 6.2 Heterogeneous beliefs

6.3 Evolutionary dynamics

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