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Heterogeneous beliefs and routes to chaos in a simple asset pricing model. (English) Zbl 0913.90042
Summary: This paper investigates the dynamics in a simple present discounted value asset pricing model with heterogeneous beliefs. Agents choose from a finite set of predictors of future prices of a risky asset and revise their ‘beliefs’ in each period in a boundedly rational way, according to a ‘fitness measure’ such as past realized profits. Price fluctuations are thus driven by an evolutionary dynamics between different expectation schemes (‘rational animal spirits’). Using a mixture of local bifurcation theory and numerical methods, we investigate possible bifurcation routes to complicated asset price dynamics. In particular, we present numerical evidence of strange, chaotic attractors when the intensity of choice to switch prediction strategies is high.

MSC:
91B62Growth models in economics
91B24Price theory and market structure