Skip to main content
Erschienen in: Journal of Economic Interaction and Coordination 2/2017

10.05.2017 | Book Review

Heterogeneous trading and complex price dynamics

Book review of Behavioural rationality and heterogeneous expectations in complex economic systems by Cars Hommes

verfasst von: Mengling Li, Huanhuan Zheng

Erschienen in: Journal of Economic Interaction and Coordination | Ausgabe 2/2017

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config
loading …

Abstract

We review the book “Behavioural Rationality and Heterogeneous Expectations in Complex Economic Systems” written by Cars Hommes and discuss the research trends on the dynamic interaction between heterogeneous investment and complex asset price movements.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Literatur
Zurück zum Zitat Alfarano S, Lux T, Wagner F (2008) Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach. J Econ Dyn Control 32(1):101–136CrossRef Alfarano S, Lux T, Wagner F (2008) Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach. J Econ Dyn Control 32(1):101–136CrossRef
Zurück zum Zitat Allen H, Taylor MP (1990) Charts, noise and fundamentals in the London foreign exchange market. Econ J 100:49–59CrossRef Allen H, Taylor MP (1990) Charts, noise and fundamentals in the London foreign exchange market. Econ J 100:49–59CrossRef
Zurück zum Zitat Anufriev M, Hommes CH (2012) Evolutionary selection of individual expectations and aggregate outcomes in asset pricing experiments. Am Econ J Microecon 4(4):35–64CrossRef Anufriev M, Hommes CH (2012) Evolutionary selection of individual expectations and aggregate outcomes in asset pricing experiments. Am Econ J Microecon 4(4):35–64CrossRef
Zurück zum Zitat Boswijk HP, Hommes CH, Manzan S (2007) Behavioural heterogeneity in stock prices. J Econ Dyn Control 31:1938–1970CrossRef Boswijk HP, Hommes CH, Manzan S (2007) Behavioural heterogeneity in stock prices. J Econ Dyn Control 31:1938–1970CrossRef
Zurück zum Zitat Brock WA, Hommes CH (1997) A rational route to randomness. Econometrica 65(5):1059–1095CrossRef Brock WA, Hommes CH (1997) A rational route to randomness. Econometrica 65(5):1059–1095CrossRef
Zurück zum Zitat Brock WA, Hommes CH (1998) Heterogeneous beliefs and routes to chaos in a simple asset pricing model. J Econ Dyn Control 22:1235–1274CrossRef Brock WA, Hommes CH (1998) Heterogeneous beliefs and routes to chaos in a simple asset pricing model. J Econ Dyn Control 22:1235–1274CrossRef
Zurück zum Zitat Chia WM, Li M, Zheng H (2017) Behavioral heterogeneity in the Australian housing market. Appl Econ 49(9):872–885CrossRef Chia WM, Li M, Zheng H (2017) Behavioral heterogeneity in the Australian housing market. Appl Econ 49(9):872–885CrossRef
Zurück zum Zitat Chiarella C, He X, Huang W, Zheng H (2012) Estimating behavioural heterogeneity under regime switching. J Econ Behav Organ 83:446–460CrossRef Chiarella C, He X, Huang W, Zheng H (2012) Estimating behavioural heterogeneity under regime switching. J Econ Behav Organ 83:446–460CrossRef
Zurück zum Zitat De Jong E, Verschoor W, Zwinkels R (2009) Behavioral heterogeneity and shift-contagion: evidence from the Asian crisis. J Econ Dyn Control 33(11):1929–1944CrossRef De Jong E, Verschoor W, Zwinkels R (2009) Behavioral heterogeneity and shift-contagion: evidence from the Asian crisis. J Econ Dyn Control 33(11):1929–1944CrossRef
Zurück zum Zitat De Jong E, Verschoor W, Zwinkels R (2010) Heterogeneity of agents and exchange rate dynamics: evidence from the EMS. J Int Money Finance 29:1652–1669CrossRef De Jong E, Verschoor W, Zwinkels R (2010) Heterogeneity of agents and exchange rate dynamics: evidence from the EMS. J Int Money Finance 29:1652–1669CrossRef
Zurück zum Zitat Frijns B, Lehnert T, Zwinkels R (2010) Behavioral heterogeneity in the option market. J Econ Dyn Control 34:2273–2287CrossRef Frijns B, Lehnert T, Zwinkels R (2010) Behavioral heterogeneity in the option market. J Econ Dyn Control 34:2273–2287CrossRef
Zurück zum Zitat Goodwin RM (1947) Dynamical couplic with especial reference to markets having production lags. Econometrica 15:181–204CrossRef Goodwin RM (1947) Dynamical couplic with especial reference to markets having production lags. Econometrica 15:181–204CrossRef
Zurück zum Zitat He X, Westerhoff FH (2005) Commodity markets, price limiters and speculative price dynamics. J Econ Dyn Control 29(9):1577–1596CrossRef He X, Westerhoff FH (2005) Commodity markets, price limiters and speculative price dynamics. J Econ Dyn Control 29(9):1577–1596CrossRef
Zurück zum Zitat He X, Zheng H (2016) Trading heterogeneity under information uncertainty, with Xue-Zhong He, forthcoming. J Econ Beh Organ 130:64–80CrossRef He X, Zheng H (2016) Trading heterogeneity under information uncertainty, with Xue-Zhong He, forthcoming. J Econ Beh Organ 130:64–80CrossRef
Zurück zum Zitat Hens T, Schenk-Hoppé KR (2009) Handbook of financial markets: dynamics and evolution. Elsevier, Amsterdam Hens T, Schenk-Hoppé KR (2009) Handbook of financial markets: dynamics and evolution. Elsevier, Amsterdam
Zurück zum Zitat Hommes CH (2011) The heterogeneous expectations hypothesis: some evidence from the lab. J Econ Dyn Control 35:1–24CrossRef Hommes CH (2011) The heterogeneous expectations hypothesis: some evidence from the lab. J Econ Dyn Control 35:1–24CrossRef
Zurück zum Zitat Hommes CH (2013) Behavioural rationality and heterogeneous expectations in complex economic systems. Cambridge University Press, New YorkCrossRef Hommes CH (2013) Behavioural rationality and heterogeneous expectations in complex economic systems. Cambridge University Press, New YorkCrossRef
Zurück zum Zitat Hommes CH, Sonnemans J, Tuinstra J, van de Velden H (2005) Coordination of expectations in asset pricing experiments. Rev Financ Stud 18:955–980CrossRef Hommes CH, Sonnemans J, Tuinstra J, van de Velden H (2005) Coordination of expectations in asset pricing experiments. Rev Financ Stud 18:955–980CrossRef
Zurück zum Zitat Hommes CH, Sonnemans J, Tuinstra J, van de Velden H (2007) Learning in cobweb experiments. Macroecon Dyn 11(S1):8–33CrossRef Hommes CH, Sonnemans J, Tuinstra J, van de Velden H (2007) Learning in cobweb experiments. Macroecon Dyn 11(S1):8–33CrossRef
Zurück zum Zitat Huang W, Zheng H, Chia WM (2010) Financial crisis and interacting heterogeneous agents. J Econ Dyn Control 34:1105–1122CrossRef Huang W, Zheng H, Chia WM (2010) Financial crisis and interacting heterogeneous agents. J Econ Dyn Control 34:1105–1122CrossRef
Zurück zum Zitat Huang W, Zheng H, Chia WM (2012) Asymmetric returns, gradual bubbles and sudden crashes. Eur J Finance 19:420–437CrossRef Huang W, Zheng H, Chia WM (2012) Asymmetric returns, gradual bubbles and sudden crashes. Eur J Finance 19:420–437CrossRef
Zurück zum Zitat Li M, Zheng H, Chong TTL, Zhang Y (2016) The stock–bond comovements and cross-market trading. J Econ Dyn Control 73:417–438CrossRef Li M, Zheng H, Chong TTL, Zhang Y (2016) The stock–bond comovements and cross-market trading. J Econ Dyn Control 73:417–438CrossRef
Zurück zum Zitat Lux T (1995) Herd behavior, bubbles and crashes. Econ J 105:881–896CrossRef Lux T (1995) Herd behavior, bubbles and crashes. Econ J 105:881–896CrossRef
Zurück zum Zitat Lof M (2015) Rational speculators, contrarians, and excess volatility. Manag Sci 61(8):1889–1901CrossRef Lof M (2015) Rational speculators, contrarians, and excess volatility. Manag Sci 61(8):1889–1901CrossRef
Zurück zum Zitat Muth JF (1961) Rational expectations and the theory of price movements. Econometrica 29:315–335CrossRef Muth JF (1961) Rational expectations and the theory of price movements. Econometrica 29:315–335CrossRef
Zurück zum Zitat Nerlove M (1958) Adaptive expectations and cobweb phenomena. Q J Econ 72:227–240CrossRef Nerlove M (1958) Adaptive expectations and cobweb phenomena. Q J Econ 72:227–240CrossRef
Zurück zum Zitat Schmitt N, Frank W (2014) Speculative behavior and the dynamics of interacting stock markets. J Econ Dyn Control 45(8):262–288CrossRef Schmitt N, Frank W (2014) Speculative behavior and the dynamics of interacting stock markets. J Econ Dyn Control 45(8):262–288CrossRef
Zurück zum Zitat Tesfatsion L, Judd K L (eds) (2006) Handbook of Computational Economics, Volume 2: Agent-Based Computational Economics. North-Holland, Amsterdam Tesfatsion L, Judd K L (eds) (2006) Handbook of Computational Economics, Volume 2: Agent-Based Computational Economics. North-Holland, Amsterdam
Metadaten
Titel
Heterogeneous trading and complex price dynamics
Book review of Behavioural rationality and heterogeneous expectations in complex economic systems by Cars Hommes
verfasst von
Mengling Li
Huanhuan Zheng
Publikationsdatum
10.05.2017
Verlag
Springer Berlin Heidelberg
Erschienen in
Journal of Economic Interaction and Coordination / Ausgabe 2/2017
Print ISSN: 1860-711X
Elektronische ISSN: 1860-7128
DOI
https://doi.org/10.1007/s11403-017-0196-1

Weitere Artikel der Ausgabe 2/2017

Journal of Economic Interaction and Coordination 2/2017 Zur Ausgabe