Evolutionary dynamics in markets with many trader types

By William A. Brock, Cars H. Hommes, Florian Wagener. 2005

172 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Sociology and Political Science

View Paper: https://www.semanticscholar.org/paper/d89c1dfc88845c4c9897d1002f3416b2636fc1de

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Citations in the corpus

Sticky information and model uncertainty in survey data on inflation expectations (2007, background): “In the alternative approach we assume that there are a finite number of elements in Ht.(11) Moreover, unlike in the previous subsection, we assume that each predictor π̂j,t+12 is recursive and updated each (j +1) periods.”
Behavioral & Experimental Macroeconomics and Policy Analysis: A Complex Systems Approach (2018, background): “They also consider a model with infinitely many different types and study the dynamics with a large type limit approximation (Brock et al. 2005).”
Equilibria in financial markets with heterogeneous agents: a probabilistic perspective (2005, background): “Brock et al. (2002) study the evolution of a model with many types of agents.”
Stochastic behavioral asset pricing models and the stylized facts (2008, unknown): “Since w↑ and w↓(x) are identical to w↑(n) and w↓(n) in eq.(30) we end up with”
Complex Evolutionary Systems in Behavioral Finance (2008, background): “According to the LTL-theorem of Brock et al. (2005), as the number H of trader types tends to infinity, the H-type evolution map ϕ converges almost surely to the LTL-map ψ.”
Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS (2005, methodology): “As a final remark we would like to comment on the difference with the recently proposed LTL approach of Brock et al. (2003).”
Heterogeneous Expectations in Monetary DSGE Models (2013, unknown): “9Anufriev, Assenza, Hommes, and Massaro (2012) use the concept of Large Type Limit (LTL) developed by Brock, Hommes, and Wagener (2005) to analyze inflation dynamics when the number of strategies available to the agents tend to infinity.”
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, unknown): “Pt+1 = Ptφ(ω), (39) with φ an increasing function and φ(0) = 1.”