Financial markets as nonlinear adaptive evolutionary systems

By Cars H. Hommes. 2001

360 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/6d39f2907e5246eac370016b9a4d6efa0a2847c3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Cars H. Hommes
2. Xue-zhong He
3. Roberto Dieci
4. Frank H. Westerhoff
5. Carl Chiarella
6. Youwei Li
7. Florian Wagener
8. William A. Branch

In Finance

1. Cars H. Hommes
2. Xue-zhong He
3. Roberto Dieci
4. Carl Chiarella
5. Frank H. Westerhoff
6. Youwei Li
7. Florian Wagener
8. Giulia Iori

In Management Science and Operations Research

1. Frank H. Westerhoff
2. Xue-zhong He
3. Cars H. Hommes
4. Roberto Dieci
5. Florian Wagener
6. Youwei Li
7. Carl Chiarella
8. William A. Brock

Citations in the corpus

• Expectations and Bubbles in Asset Pricing Experiments (2008, background): “Moreover, the di¤erence between realized utility and the highest attainable utility level (obtained for peh,t+1 = pt+1) is proportional to the quadratic forecast error (see Hommes 2001).”
• The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows (2007, background): “(A4) This is simply a function depending linearly on the expected return and its variance (see also Brock and Hommes (1998), Hommes (2001) and Kirman and Tessyiere (2002).”
• Heterogeneity, convergence, and autocorrelations (2008, neutral): “…et al. (1995), Day and Huang (1990), DeLong et al. (1990), Farmer and Joshi (2002), Frankel and Froot (1987), Gaunersdorfer (2000), Giardina and Bouchaud (2003), Hommes (2001, 2002), Iori (2002), LeBaron (2000, 2001, 2002), LeBaron et al. (1999), Lux (1995, 1997, 1998), and Lux and Marhesi (1999).”
• Power-law behaviour, heterogeneity, and trend chasing (2007, background): “3In this regard see, Gaunersdorfer (2000), Hommes (2001, 2002), Chiarella and He (2001, 2002, 2003), Chiarella et al. (2002), De Grauwe and Grimaldi (2003) and Westerhoff (2003).”
• A nonlinear structural model for volatility clustering (2000, background): “See also the survey in [28] or the interview with William Brock in [52].”
• Complex Evolutionary Systems in Behavioral Finance (2008, background): “As discussed in Hommes (2001), the fitness measure of (minus) squared forecasting errors is equivalent to risk adjusted profits and therefore it may be a relevant measure in real markets (cf. footnote 6).”
• Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists (2003, background): “3) are regularly employed in theoretical models to characterize the behavior of traders (Hommes 2001).”
• Coordination of Expectations in Asset Pricing Experiments (2005, neutral): “…to quadratic forecast error is equivalent (up to a constant) with paying them according to risk-adjusted profit of the traders (for details see Hommes (2001)). undergraduates in economics, chemistry and psychology) were recruited by means of announcements on information boards in university…”
• Heterogeneous Expectations and Speculative Behavior in a Dynamic Multi-Asset Framework (2007, background): “See e.g. Hommes (2001) 3 In particular, the setup of Bohm and Chiarella (2005) is that of a multi-asset dynamic CAPM with heterogeneous”
• Multi-Asset Market Dynamics (2003, background): “Such demand functions are in harmony with myopic mean-variance maximizers (Hommes 2001).”
• Evolutionary dynamics in markets with many trader types (2005, methodology): “Using the moment generating function formulae the following closed form expression for the LTL (42) is obtained:”
• The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach (2006, methodology): “The fitness of the strategies furthermore depends on their past performance (Hommes 2001).”
• The Financial Stress Index: Identification of Systemic Risk Conditions (2011, positive): “Hommes [25] extends this approach to markets as nonlinear adaptive evolutionary systems.”
• Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd, Elsevier, Amsterdam 2006, pp.1109-1186 (2005, background): “In particular, in a heterogeneous world a rational agent has to know the beliefs of all other, non-rational agents, which seems highly unrealistic as emphasized e.g. in Arthur (1995) and Hommes (2001).”
• HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER (2003, methodology): “Following the framework of Brock and Hommes (1998), consider an asset-pricing model with one risky asset and one risk-free asset.”