| Authors |
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| Publication date |
2001
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| Series |
CeNDEF Working Paper, 01-05
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| Number of pages |
21
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| Publisher |
Amsterdam: Universiteit van Amsterdam
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
|
| Abstract |
This paper discusses dynamic evolutionary multi-agent systems, as introduced by Brock and Hommes (1997). In particular the heterogeneous agent dynamic asset pricing model of Brock and Hommes (1998) is extended by introducing derivative securities by means of price contingent contracts. Numerical simulations suggest that in a boundedly rational heterogeneous evolutionary world futures markets may be destabilizing.
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| Document type |
Working paper
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| Published at |
http://www1.fee.uva.nl/cendef/publications/papers/BHSSRI.pdf
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