The model presented is also related to the literature in limited risk sharing and participation
constraints (Kehoe and Levine (1993), Kocherlakota (1996) and Zhang (1997)). More recently,
Alvarez and Jermann (2000, 2001) showed that these participation constraints can be modelled as
endogenous portfolio constraints, which they denote solvency constraints. Besides extending this
strand of the literature for the case of heterogeneous beliefs, I solve this problem in continuous time
for the rst time, thus generalizing it to the case of in nite possible states.
Legal and ethical questions of control, supervision and consent in connection with such
smart-home technology have in this connection played an important role for us.
According to "Eldres IT-forum" (an IT-forum for the elderly) “elderly people” are those above
55 years, and they represent one fourth of the Norwegian population. The elderly are a
heterogeneous group with very different needs and qualifications. Their economic
capability, degree of education, their health and degree of functional ability greatly vary.
In a recent contribution, Gallmeyer and Holli eld (2008) propose a model with heterogeneous
beliefs and short sale constraints. They are able to show some e¤ects of heterogeneous beliefs
and of short sales constraints on equilibrium volatility at a xed point in time through extensive
simulations. However, their constraints are imposed exogenously, while the rich dynamics obtained
in this paper come from the endogenous solvency constraints and binding regimes which arise
naturally from limited commitment....
Nonlinearity, Bifurcation and Chaos - Theory and Application is an edited book focused on introducing both theoretical and application oriented approaches in science and engineering. It' contains 12 chapters, and is recommended for university teachers, scientists, researchers, engineers, as well as graduate and post-graduate students either working or interested in the field of nonlinearity, bifurcation and chaos.
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The picture of the market that results from our experiments, surprisingly, confirms both the efficient-
market academic view and the traders’ view. But each is valid under different circumstances—in different
regimes. In both circumstances, we initiate our traders with heterogeneous beliefs clustered randomly in an
interval near homogeneous rational expectations. We find that if our agents adapt their forecasts very
slowly to new observations of the market’s behavior, the market converges to a rational-expectations
If, on the other hand, we allow the traders to adapt to new market observations at a more realistic rate,
heterogeneous beliefs persist, and the market self-organizes into a complex regime. A rich “market
psychology”—a rich set of expectations—becomes observable. Technical trading emerges as a profitable
activity, and temporary bubbles and crashes occur from time to time. Trading volume is high, with times of
quiescence alternating with times of intense market activity.
I consider a continuous-time "two-trees" pure-exchange economy with in nite horizon. There is a
single consumption good which serves as the numeraire. There are two types of investors who are
heterogeneous in endowments, beliefs, and enforcement technology. Heterogeneity in endowments
and beliefs provide incentives for trade in the nancial markets, which is driven by risk sharing
motives and sentiment, respectively.
The natural question is whether these heterogeneous expectations co-evolve into homogeneous
rational-expectations beliefs, upholding the efficient-market theory, or whether richer individual and
collective behavior emerges, upholding the traders’ viewpoint and explaining the empirical market
phenomena mentioned above. We answer this not analytically—our model with its fully heterogeneous
expectations it is too complicated to admit of analytical solutions—but computationally.
In collaborative planning activities, since the agents are autonomous and heterogeneous, it is inevitable that conflicts arise in their beliefs during the planning process. In cases where such conflicts are relevant to the t~t~k at hand, the agents should engage in collaborative negotiation as an attempt to square away the discrepancies in their beliefs. This paper presents a computational strategy for detecting conflicts regarding proposed beliefs and for engaging in collaborative negotiation to resolve the conflicts that warrant resolution.