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Heterogeneous agent models in economics and finance

Hommes, Cars H. - 2005

This paper surveys work on dynamic heterogeneous agent models (HAMs) in economics and finance. Emphasis is given to simple models that, at least to some extent, are tractable by analytic methods in combination with computational tools. Most of these models are behavioral models with boundedly...

Persistent link: https://www.econbiz.de/10011343261

More hedging instruments may destablize markets

Brock, William A.; Hommes, Cars H.; Wagener, Florian … - 2008

This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and adapt their behavior according to experience based reinforcement learning. We investigate three different economic settings, a simple mean-variance asset pricing model, a...

Persistent link: https://www.econbiz.de/10011349702

Shallow lake economics run deep : nonlinear aspects of an economic-ecological interest conflict

Wagener, Florian Oskar Ottokar - 2009

Persistent link: https://www.econbiz.de/10003850880

Shallow lake economics run deep : nonlinear aspects of an economic-ecological interest conflict

Wagener, Florian Oskar Ottokar - 2011

Outcomes of the shallow lake interest conflict are presented in a number of different contexts: quasi-static and dynamic social planning, and quasi-static one-shot and repeated non-cooperative play. As the underlying dynamics are non-convex, the analysis uses geometrical-numerical methods: the...

Persistent link: https://www.econbiz.de/10011378127

A weak bifurcation theory for discrete time stochastic dynamical systems

Diks, Cees G. H.; Wagener, Florian Oskar Ottokar - 2006

This article presents a bifurcation theory of smooth stochastic dynamical systems that are governed by everywhere … of the system. By introducing a weak equivalence notion of these dependence ratios, we arrive at a bifurcation theory for … which in the compact case, the set of stable (non-bifurcating) systems is open and dense. The theory is illustrated with …

Persistent link: https://www.econbiz.de/10011349208

Resilience: an evolutionary approach to spatial economic systems

Reggiani, Aura; Graaff, Thomas de; Nijkamp, Peter - 2001

The concept of resilience has received a great deal of attention in the past decades. Starting fromthe first fundamental definitions offered by Holling, Pimms and Perrings in an economic-ecologicalmodeling context, the present paper explores the ‘evolution’ of the resilience concept – as...

Persistent link: https://www.econbiz.de/10011318583