Rational vs. irrational beliefs in a complex world

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Behavior & Organization Pub Date : 2025-02-22 DOI:10.1016/j.jebo.2025.106898

Gregor Boehl , Cars Hommes

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引用次数: 0

Abstract

How do rational and boundedly rational agents interact in a competitive asset market? To answer this question, we build a highly nonlinear asset pricing model where agents hold heterogeneous beliefs. Our model features fully rational forward looking agents versus boundedly rational backward looking agents whose market shares evolve endogenously. This gives rise to chaotic model dynamics which are characterized by complex bubble and crash dynamics, even without any exogenous fluctuations. We show that computational methods can be applied to numerically analyze models combining agents forming rational expectations and agents forming extrapolative expectations, with the possibility of transition between one type of behavior and the other. Not only do we find that boundedly rational agents remain in the market, but document that their effect on price dynamics is even amplified by the behavior of fully rational agents. In their interaction, trend-extrapolators amplify small deviations from fundamentals, while rational agents eventually anticipate market crashes after large bubbles and drive prices back to the fundamental.

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复杂世界中的理性与非理性信念

理性和有限理性的代理人如何在竞争性资产市场中相互作用？为了回答这个问题，我们建立了一个高度非线性的资产定价模型，其中代理人持有异质信念。我们的模型具有完全理性的前瞻主体和市场份额内生演化的有限理性后瞻主体的特征。这就产生了混沌模型动力学，其特征是复杂的气泡和崩溃动力学，即使没有任何外生波动。我们表明，计算方法可以应用于结合主体形成理性期望和主体形成外推期望的模型的数值分析，并具有一种行为与另一种行为之间转换的可能性。我们不仅发现有限理性的代理人仍然存在于市场中，而且证明他们对价格动态的影响甚至被完全理性的代理人的行为放大了。在他们的相互作用中，趋势外推者放大了与基本面的微小偏差，而理性行为者最终会在大泡沫之后预测市场崩溃，并推动价格回归基本面。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Economic Behavior & Organization ECONOMICS-

CiteScore

3.80

自引率

9.10%

发文量

392

期刊介绍： The Journal of Economic Behavior and Organization is devoted to theoretical and empirical research concerning economic decision, organization and behavior and to economic change in all its aspects. Its specific purposes are to foster an improved understanding of how human cognitive, computational and informational characteristics influence the working of economic organizations and market economies and how an economy structural features lead to various types of micro and macro behavior, to changing patterns of development and to institutional evolution. Research with these purposes that explore the interrelations of economics with other disciplines such as biology, psychology, law, anthropology, sociology and mathematics is particularly welcome.