Im Rahmen des SFB "Adaptive Information Systems and Modelling in Economics and Management Science" (Initiative 6: "Artificial Financial Markets and Investment Decisions") spricht am Dienstag, 2. Dezember 1997 um 16 Uhr Prof. Cars Hommes (Universitaet Amsterdam) ueber "Heterogeneous beliefs and market instability" Der Vortrag findet im Audimax (BWZ, Bruenner Strasse 72) statt. Alle Interessenten sind herzlich eingeladen. Andrea Gaunersdorfer Abstract: In this talk Adaptive Belief Systems (ABS) as a way of modelling financial markets will be discussed. Financial markets are modelled as an evolutionary system, with different types of traders having different expectations about future prices and dividends of a risky asset. Agents revise their "beliefs" 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 competing expectations schemes or trading strategies ("rational animal spirits"). We show that market instability and chaotic price fluctuations may arise when traders switch fast between optimal prediction strategies. The ABS can match some stylized facts observed in financial markets. ---------------------------------------------------- Dr. Andrea Gaunersdorfer Department of Business Administration University of Vienna Bruenner Strasse 72 A - 1210 Wien Tel.: +43-1-29 1 28-466, Fax: 464 e-mail: gauner(a)finance2.bwl.univie.ac.at http://www.bwl.univie.ac.at/bwl/fiwi1/members/gauner/gauner.htm =========================================================================