Volatility via social flaring

Journal of Economic Behavior and Organization

Volumn 50, Issue 1, 2003, Pages 77-87

  Rosser Jr , J Barkley ^a   Ahmed, Ehsan ^a   Hartmann, Georg C ^b  

^a JAMES MADISON UNIVERSITY   (United States)

^b UNIVERSITY OF TÜBINGEN   (Germany)

Author keywords

Flare attractors; Heterogeneous agents; Learning; Leptokurtosis; Speculation

Indexed keywords

EID: 0037209723     PISSN: 01672681     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-2681(02)00041-0     Document Type: Article

References (44)

1. Ahmed, E., Koppl, R., Rosser Jr., J.B., White, M.V., 1997. Complex bubble persistence in closed-end country funds. Journal of Economic Behavior and Organization 32, 19-37.
2. Albin, P.S., Foley, D.K., 1998. Barriers and Bounds to Rationality: Essays on Economic Complexity in Interactive Systems. Princeton University Press, Princeton.
3. Alexander, J.C., Yorke, J.A., You, Z., Kan, I., 1992. Riddled basins. International Journal of Bifurcations and Chaos 2, 795-813.
4. Arthur,W.B., Holland, J.H., LeBaron, B., Palmer, R., Tayler, P., 1997. Asset pricing under endogenous expectations in an artificial stock market. In: Arthur, W.B., Durlauf, S.N., Lane, D.A. (Eds.), The Economy as an Evolving Complex System II. Addison-Wesley, Reading, MA, pp. 15-44.
5. Blank, S.C., 1991. "Chaos" in futures markets? A nonlinear dynamical analysis. The Journal of Futures Markets 11, 175-191.
6. Brock, W.A., 1993. Pathways to randomness in the economy: emergent nonlinearity and chaos in economics and finance. Estudios Económicos 8, 3-55.
7. Brock, W.A., Hommes, C.H., 1997. A rational route to randomness. Econometrica 65, 1059-1095.
8. Brock, W.A., Lakonishok, J., LeBaron, B., 1992. Simple technical trading rules and the stochastic properties of stock returns. Journal of Finance 47, 1731-1764.
9. Day, R.H., 1982. Irregular growth cycles. American Economic Review 72, 406-414.
10. Day, R.H., Huang,W., 1990. Bulls, bears, and market sheep. Journal of Economic Behavior and Organization 14, 299-329.
11. Dechert,W.D. (Ed.), 1996. Chaos Theory in Economics: Methods, Models and Evidence. Edward Elgar, Aldershot.
12. De Long, J.B., Shleifer, A., Summers, L.H., Waldmann, R.J., 1990. Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance 45, 379-395.
13. Durlauf, S.N., 1993. Nonergodic economic growth. Review of Economic Studies 60, 349-366.
14. Eldridge, R.M., Bernhardt, C., Mulvey, I., 1993. Evidence of chaos in the S&P cash index. Advances in Futures and Options Research 6, 179-192.
15. Engle, R.F., 1982. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50, 987-1007.
16. Engle, R.F., Ng, V.K., Rothschild, M., 1990. Asset pricing with a FACTOR-ARCH covariance structure: empirical estimates for treasury bills. Journal of Econometrics 45, 213-237.
17. Evans, M.D.D., 1998. Dividend variability and stock market swings. Review of Economic Studies 65, 711-740.
18. Gennotte, G., Leland, H., 1990. Market liquidity, hedging, and crashes. American Economic Review 80, 999-1021.
19. Grandmont, J.-M., 1985. On endogenous competitive business cycles. Econometrica 53, 995-1045.
20. Grandmont, J.-M., 1998. Expectations formation and stability in large socioeconomic systems. Econometrica 66, 741-781.
21. Hartmann, G.C., Rössler, O.E., 1998. Coupled flare attractors-a discrete prototype for economic modelling. Discrete Dynamics in Nature and Society 2, 153-159.
22. Hommes, C.H., 1998. On the consistency of backward-looking expectations: the case of the cobweb. Journal of Economic Behavior and Organization 33, 333-362.
23. Hommes, C.H., Rosser Jr., J.B., 2001. Consistent expectations equilibria and complex dynamics in renewable resource markets. Macroeconomic Dynamics 5, 180-203.
24. Hommes, C.H., Sorger, G., 1998. Consistent expectations equilibria. Macroeconomic Dynamics 2, 287-321.
25. Jaditz, T., Sayers, C.L., 1993. Is chaos generic in economic data? International Journal of Bifurcations and Chaos 3, 745-755.
26. Kaplan, J.L., Yorke, J.A., 1979. Chaotic behavior of multidimensional difference equations. Lecture Notes in Mathematics 730, 204-227.
27. LeBaron, B., 1994. Chaos and nonlinear forecastibility in economics and finance. Philosophical Transactions of the Royal Society of London A 348, 397-404.
28. de Lima, P.J.F., 1998. Nonlinearities and nonstationarities in stock returns. Journal of Business and Economic Statistics 16, 227-236.
29. Loretan, M., Phillips, P.C.B., 1994. Testing the covariance stationarity of heavy-tailed time series: an overview of the theory with applications to several financial datasets. Journal of Empirical Finance 1, 211-248.
30. Lux, T., 1998. The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions. Journal of Economic Behavior and Organization 33, 143-165.
31. Mandelbrot, B.B., 1963. The variation of certain speculative prices. Journal of Business 36, 394-419.
32. Mandelbrot, B.B., 1997. Fractals and Scaling in Finance: Discontinuity, Concentration, Risk. Springer, New York.
33. Mandelbrot, B.B., Fisher, A., Calvet, L., 1997. A Multifractal Model of Asset Returns. Cowles Foundation Discussion Paper No. 1164, Yale University, New Haven.
34. Marsh, T.A., Merton, R.C., 1986. Dividend variability and variance bounds tests for the rationality of stock market prices. American Economic Review 76, 483-498.
35. May, R.M., 1976. Simple mathematical models with very complicated dynamics. Nature 261, 459-467.
36. Milnor, J., 1985. On the concept of an attractor. Communications in Mathematical Physics 102, 517-519.
37. Robinson, J., 1953-1954. The production function and the theory of capital. Review of Economic Studies 21, 81-106.
38. Rosser Jr., J.B., 1997. Speculations on nonlinear speculative bubbles. Nonlinear Dynamics, Psychology, and Life Sciences 1, 275-300.
39. Rosser Jr., J.B., 2000. From Catastrophe to Chaos: A General Theory of Economic Discontinuities, Vol. I: Mathematics, Microeconomics, Macroeconomics, and Finance, 2nd Edition. Kluwer Academic Publishers, Boston.
40. Rössler, O.E., Hartmann, G.C., 1995. Attractors with flares. Fractals 3, 285-296.
41. Rössler, O.E., Knudsen, C., Hudson, J.L., Tsuda, I., 1995. Nowhere-differentiable attractors. International Journal of Intelligent Systems 10, 15-23.
42. Sorger, G., 1998. Imperfect foresight and chaos: an example of a self-fulfilling mistake. Journal of Economic Behavior and Organization 33, 363-383.
43. Young, H.P., 1998. Individual Strategy and Social Structure: An Evolutionary Theory of Institutions. Princeton University Press, Princeton.
44. Zeeman, E.C., 1974. On the unstable behavior of the stock exchanges. Journal of Mathematical Economics 1, 39-44.