Bell, William Paul
(2009):
*Adaptive interactive expectations: dynamically modelling profit expectations.*

Preview |
PDF
MPRA_paper_38260.pdf Download (1MB) | Preview |

## Abstract

This thesis aims to develop an alternative expectations model to the Rational Expectations Hypothesis (REH) and adaptive-expectations models, which provides more accurate temporal predictive performance and more closely reflects recent advances in behavioural economics, the ‘science of complexity’ and network dynamics. The model the thesis develops is called Adaptive Interactive Expectations (AIE), a subjective dynamic model of the process of expectations formation. To REH, the AIE model provides both an alternative and a complement. AIE and REH complement one another in that they are diametrically opposite in the following five dimensions, agent intelligence, agent interaction, agent homogeneity, equilibrium assumptions and the rationalisation process. REH and AIE stress the importance of hyper-intelligent agents interacting only via a price signal and near zero-intelligent agents interacting via a network structure, respectively. The complementary nature of AIE and REH provide dual perspectives that enhance analysis.

The Dun & Bradstreet (D&B 2008) profit expectations survey is used in the thesis to calibrate AIE and make predictions. The predictive power of the AIE and REH models is compared. The thesis introduces the ‘pressure to change profit expectations index’, px. This index provides the ability to model unknowns within an adaptive dynamic process and combine the beliefs from interactive-expectations, adaptive-expectations and biases that include pessimism, optimism and ambivalence.

AIE uses networks to model the flow of interactive-expectations between firms. To overcome the uncertainty over the structure of the interactive network, the thesis uses model-averaging over 121 network topologies. These networks are defined by three variables regardless of their complexity. Unfortunately, the Bayesian technique’s use of the number of variables as a measure of complexity makes it unsuitable for model-averaging over the network topologies. To overcome this limitation in the Bayesian technique, the thesis introduces two model-averaging techniques, ‘runtime-weighted’ and ‘optimal-calibration’. These model-averaging techniques are benchmarked against ‘Bayes-factor model-averaging’ and ‘equal-weighted model-averaging’.

In addition to the aggregate called all–firms, the D&B (2008) survey has four divisions, manufacturing durables, manufacturing non–durables, wholesale and retail. To make use of the four divisions, the thesis introduces a ‘link-intensity matrix’ based upon an ‘input-output table’ to improve the calibration of the networks. The transpose of the table is also used in the thesis. The two ‘link-intensity matrices’ are benchmarked against the default, a ‘matrix of ones’. The aggregated and disaggregated versions of AIE are benchmarked against adaptive-expectations to establish whether the interactive-expectations component of AIE add value to the model.

The thesis finds that AIE has more predictive power than REH. ‘Optimal-calibration model-averaging’ improves the predictive performance of the better-fitting versions of AIE, which are those versions that use the ‘input-output table’ and ‘matrix of ones’ link-intensity matrices. The ‘runtime-weighted model-averaging’ improves the predictive performance of only the ‘input-output table’ version of AIE. The interactive component of the AIE model improves the predictive performance of all versions of the AIE over adaptive-expectations. There is an ambiguous effect on prediction performance from introducing the ‘input-output table’. However, there is a clear reduction in the predictive performance from introducing its transpose.

AIE can inform the debate on government intervention by providing an Agent-Based Model (ABM) perspective on the conflicting mathematical and narrative views proposed by the Greenwald–Stiglitz Theorem and Austrian school, respectively. Additionally, AIE can provide a complementary role to REH, which is descriptive/predictive and normative, respectively. The AIE network calibration uses an ‘input-output table’ to determine the link-intensity; this method could provide Computable General Equilibrium (CGE) and Dynamic Stochastic General Equilibrium (DSGE) with a way to improve their transmission mechanism. Furthermore, the AIE network calibration and prediction methodology may help overcome the validation concerns of practitioners when they implement ABM.

Item Type: | MPRA Paper |
---|---|

Original Title: | Adaptive interactive expectations: dynamically modelling profit expectations |

Language: | English |

Keywords: | Small World Networks; Agent Based Model; Adaptive; Interactive; Profits; Expectations; Model Averaging; Survey; Australia; Business Cycle; Uncertainty |

Subjects: | D - Microeconomics > D0 - General > D03 - Behavioral Microeconomics: Underlying Principles D - Microeconomics > D8 - Information, Knowledge, and Uncertainty C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis |

Item ID: | 38260 |

Depositing User: | Dr William Paul Bell |

Date Deposited: | 23 Apr 2012 02:36 |

Last Modified: | 26 Sep 2019 21:58 |

References: | ABS 2002, Cat. No. 5250.0 Australian Business Expectations Mar and Dec 2003, Canberra. — 2006a, Cat. No. 1292.0 Australian and New Zealand Standard Industrial Classification (ANZSIC). — 2006b, Cat. No. 5209.0.55.001 - Australian National Accounts: Input-Output Tables - Electronic Publication, 2001-02 - Table 2. Use Table - Input by Industry and Final Use Category and Supply by Product Group, 17 January 2007. ACCS 2007, Training Needs Analysis - Preliminary Findings. Ackerman, F 2002, 'Still dead after all these years: interpreting the failure of general equilibrium theory', Journal of Economic Methodology, vol. 9, no. 2, pp. 119-39. Akaike, H 1974, 'A new look at the statistical model identification', Institute of Statistical Mathematics, vol. 19, no. 6, pp. 716-23. Albert, R & Barabási, A-L 2002, 'Statistical mechanics of complex networks', Reviews of Modern Physics, vol. 74, no. 1, pp. 47-97. Amarala, LAN & Ottino, JM 2004, 'Complex networks: Augmenting the framework for the study of complex systems', The European Physical Journal B, vol. 38, pp. 147-62. Aoki, M 2007, 'A New Stochastic Framework for Macroeconomics: Some Illustrative Examples', in M Salzano & D Colander (eds), Complexity Hints for Economic Policy Springer, Milan, New York. Arnsperger, C & Varoufakis, Y 2006, 'What Is Neoclassical Economics? ' Post-autistic Economics Review, vol. 38, no. 1. Arrow, KJ & Debreu, G 1954, 'Existence of an Equilibrium for a Competitive Economy', Econometrica, vol. 22, no. 2, pp. 265-90. Arthur, WB, Holland, JH, LeBaron, B, Palmer, R & Tayler, P 1996, Asset Pricing Under Endogenous Expectations in an Artificial Stock Market, Working paper 96-12-093, Santa Fe Institute. Axtell, RL & Epstein, JM 1999, 'Coordination in Transient Social Networks', in HJ Aaron (ed.), Behavioral Dimensions of Retirement Economics, Brookings Institution Press, Washington, DC. Bachelier, L 1900, 'Theory of speculation: the origins of modern finance', in M Davis & A Etheridge (eds), Louis Bachelier's theory of speculation : the origins of modern finance 2006, Princeton University Press, Princeton; Oxford. Bak, P, Chen, K, Scheinkman, J & Woodford, M 1993, 'Aggregate fluctuations from independent sectoral shocks: self-organized criticality in a model of production and inventory dynamics', Ricerche Economiche, vol. 47, no. 1, pp. 3-30. Bak, P & Paczuski, M 1995, 'Complexity, Contingency, and Criticality', Proceeding of the National Academy of Science of the USA, vol. 92, pp. 6689-96. Bak, P, Paczuski, M & Shubik, M 1997, 'Price variations in a stock market with many agents', Physica A: Statistical and Theoretical Physics, vol. 246, no. 3-4, pp. 430-53. Bak, P, Tang, C & Wiesenfeld, K 1987, 'Self-organized criticality: An explanation of the 1/f noise ', Physical Review Letters, vol. 59, no. 4, pp. 381-4. — 1988, 'Self-organized criticality', Physical Review A, vol. 38, no. 1, pp. 364-74. Banks, J, Blundell, R & Tanner, S 1998, 'Is There a Retirement-Savings Puzzle?' The American Economic Review, vol. 88, no. 4, pp. 769-88. Barabási, A-L 2002, Linked: the new science of networks, Perseus Pub., Cambridge, Mass. Barberis, N & Thaler, RH 2002, 'A Survey of Behavioral Finance', NBER Working Paper, no. W9222, viewed 17 Feb. 2009, <http://papers.ssrn.com/sol3/papers.cfm?abstract_id=332266>. — 2003, 'A survey of behavioral finance', in GM Constantinides, M Harris & RM Stulz (eds), Handbook of the economics of finance, Boston, Mass. : Elsevier/North-Holland. Bates, JM & Granger, CWJ 1969, 'The Combination of Forecasts', Operational Research Quarterly, vol. 20, no. 4, pp. 451-68. Bell, WP 2008, 'Interactive Adaptive Profit Expectations and Small World Networks', paper presented to Business, Economics and Law Faculty Research Conference 2008, University of Queensland, Brisbane, Australia, 26 September 2008. — 2008, 'Adaptive interactive profit expectations, using small world networks and runtime-weighted model-averaging', paper presented to Complexity and Nonlinear Dynamics II, Biomedical Applications of Micro- and Nanoengineering IV and Complex Systems RMIT University, Melbourne, Australia, 10 December 2008. — 2009, 'Network Averaging: a technique for determining a proxy for the dynamics of networks', paper presented to Complex ’09, the 9th Asia-Pacific Complex Systems Conference, Chuo University, Tokyo, Japan, 6 November 2009. Beinhocker, ED 2006, Origin of Wealth: Evolution, Complexity, and the Radical Remaking of Economics, Harvard Business School Press, Cambridge, Mass. Billari, FC 2006, Agent-based computational modelling: applications in demography, social, economic and environmental sciences, Contributions to economics, Physica-Verlag, Heidelberg. Black, F & Scholes, M 1973, 'The Pricing of Options and Corporate Liabilities', Journal of Political Economy, vol. 81, no. 3, pp. 637-54. Blatt, JM 1983, 'Economic policy and Endogenous Cycles', Journal of Post Keynesian Economics, vol. 5, no. 4, pp. 635-47. Blaug, M 1992, The methodology of economics, or, How economists explain, 2nd edn, Cambridge surveys of economic literature., Cambridge University Press, Cambridge, England. — 2001, 'No History of Ideas, Please, We're Economists', Journal of Economic Perspectives, vol. 15, no. 1, pp. 145-64. Bowden, MP & McDonald, S 2008, 'The Impact of Interaction and Social Learning on Aggreagte Expectations', Computational Economics, vol. 31, no. 3, pp. 289-306. Brock, WA 2000, 'Some Santa Fe Scenery', in DC Colander (ed.), The complexity vision and the teaching of economics, E. Elgar, Cheltenham, UK ; Northampton, MA, pp. xv, 307. Brock, WA & Colander, D 2000, 'Complexity and Policy', in DC Colander (ed.), The complexity vision and the teaching of economics, E. Elgar, Cheltenham, UK ; Northampton, MA, pp. xv, 307. Brock, WA, Hommes, C & Wagener, F 2005, ''Evolutionary Dynamics in Markets with Many Trader Types', Journal of Mathematical Economics, vol. 41, no. 1-2, pp. 7-42. Butos, WN & Koppl, RG 1997, 'The Varieties of Subjectivism: Keynes and Hayek on Expectations', History of Political Economy, vol. 29, no. 2, pp. 327-59. Camerer, C & Weber, M 1992, 'Recent developments in modeling preferences: Uncertainty and ambiguity ', Journal of Risk and Uncertainty, vol. 5, no. 4, pp. 325-70. Canova, F 1998, 'Detrending and business cycle facts', Journal of Monetary Economics, vol. 41, no. 3, pp. 475-512. Centre of Policy Studies 2009, Economic Models at CoPS, Department of Business and Economics, Monash University, viewed 15 Feb. 2009, <http://www.monash.edu.au/policy/models.htm>. Cerný, V 1985, ' Thermodynamical approach to the traveling salesman problem: An efficient simulation algorithm', Journal of Optimization Theory and Applications, vol. 45, no. 1, pp. 41-51. Choquet, G 1954, 'Theory of capacities', Annales Institut Fourier, vol. 5, pp. 131-295. Christiano, LJ & Eichenbaum, M 1990, 'Current Real Business Cycle Theories and Aggregate Labor Market Fluctuations', Federal Reserve Bank of Minneapolis, DOI Discussion Paper 24, <http://minneapolisfed.org/research/DP/DP24.pdf>. Clark, JB 1898, 'The Future of Economic Theory', The Quarterly Journal of Economics, vol. 13, no. 1, pp. 1-14. Clemen, RT 1989, 'Combining forecasts: A review and annotated bibliography', International Journal of Forecasting, vol. 5, pp. 559-83. Coates, JM & Herbert, J 2008, 'Endogenous steroids and financial risk taking on a London trading floor', Proceeding of the National Academy of Science of the USA, vol. 105, no. 16, pp. 6167-72. Colander, DC 2000, The complexity vision and the teaching of economics, E. Elgar, Cheltenham, UK ; Northampton, MA. D&B 2006, Standard Industrial Classification Australia, <http://www.dnb.com.au/pdfs/general/SIC_Booklet.pdf>. — 2008, 'National Business Expectations Survey of business executives across Australia', viewed 20 February 2008, <http://www.dnb.com.au/general/business_expectations/business_expectations.asp?id=pr_2007_1105&Link_Page=AUS>. d’Aquino, P, August, P, Balmann, A, Berger, T, Bousquet, F, Brondízio, E, Brown, DG, Couclelis, H, Deadman, P, Goodchild, MF, Gotts, NM, Gumerman, GJ, Hoffmann, MJ, Huigen, MGA, Irwin, E, Janssen, MA, Johnston, R, Kohler, T, Law, ANR, Lee, V, Page, CL, Lim, K, Manson, SM, McConnell, WJ, McCracken, S, Moran, E, Najlis, R, Nassauer, JI, Opaluch, JJ, Page, SE, Parker, DC, Polhill, JG, Robinson, D, Thompson, R, Torrens, P & Warren, K 2001, 'Meeting the Challenge of Complexity', paper presented to International Workshop on Agent-Based Models Of Land-Use and Land-Cover Change, Center for the Study of Institutions, Population, and Environmental Change, Indiana University, USA, 4-7 October 2001, <http://www.csiss.org/resources/maslucc/ABM-LUCC.pdf>. Davis, JB 2006, 'The turn in economics: neoclassical dominance to mainstream pluralism?' Journal of Institutional Economics, vol. 2, no. 1, pp. 1-20. Dawid, H & Fagiolo, G 2008, 'Agent-based models for economics policy design: Introduction to the special issue', Journal of Economic Behavior and Organization, vol. 67, no. 2008, pp. 351-4. De Bondt, WFM & Thaler, RH 1985, 'Does the stock market overreact?' Journal of Finance, vol. 40, no. 3, pp. 793-805. de Vicente, J, Lanchares, J & Hermidab, R 2003, 'Placement by thermodynamic simulated annealing', Physics Letters A, vol. 317, no. 5-6, pp. 415-23. de Vroey, M 1999, 'Transforming Walras into a Marshallian Economist: A critical review of Donald Walker's Walras's market models', Journal of the History of Economic Thought, vol. 21, no. 4, pp. 413-36. Debreu, G 1959, Theory of value: an axiomatic analysis of economic equilibrium, Wiley, New York. — 1974, 'Excess demand functions', Journal of Mathematical Economics, vol. 1, no. 1, pp. 15-21. Delre, S & Parisi, D 2007, 'Information and Cooperation in a Simulated Labor Market: A Computational Model for the Evolution of Workers and Firms ', in M Salzano & D Colander (eds), Complexity Hints for Economic Policy Springer, Milan, New York. Diba, BT & Grossman, HI 1988, 'The Theory of Rational Bubbles in Stock Prices ', The Economic Journal, vol. 98, no. 292, pp. 746-54. Dixon, PB & Rimmer, M 2002, Dynamic general equilibrium modelling for forecasting and policy: a practical guide and documentation of MONASH, Contributions to economic analysis, Elsevier, Amsterdam. Dodd, N 1990, 'Slow annealing versus multiple fast annealing runs — an empirical investigation', Parallel Computing, vol. 16, no. 2-3, pp. 269-72. Duan, F & Abbott, D 2008, 'Aperiodic stochastic resonant data storage on directed small-world networks', paper presented to Complexity and Nonlinear Dynamics II, Biomedical Applications of Micro- and Nanoengineering IV and Complex Systems RMIT University, Melbourne, Australia, 10 December 2009. Dueck, G & Scheuer, T 1990, 'Threshold accepting: a general purpose optimization algorithm appearing superior to simulated annealing', Journal of Computational Physics, vol. 90, no. 1, pp. 161-75. Dunlop, JT 1938, 'The Movement of Real and Money Wage Rates', Economic Journal, vol. 48, no. 191, pp. 413-34. Eichberger, J, Kelsey, D & Schipper, BC 2009, 'Ambiguity and social interaction', Oxford Economic Papers, vol. 61, no. 2, pp. 355-79. Ellsberg, D 1961, 'Risk, Ambiguity, and the Savage Axioms ', The Quarterly Journal of Economics, vol. 75, no. 4, pp. 643-69. Elster, J 1989, 'Social Norms and Economic Theory ', The Journal of Economic Perspectives, vol. 3, no. 4, pp. 99-117. Epstein, JM 1999, 'Agent-based computational models and generative social science', Complexity, vol. 4, no. 5, pp. 41-60. Epstein, JM & Axtell, R 1996, Growing Artificial Societies: Social Science from the Bottom Up, MIT Press, Cambridge, MA. Fama, EF 1965, 'The Behavior of Stock-Market Prices', Journal of Business, vol. 38, no. 1, pp. 34-105. — 1970, 'Efficient Capital Markets: A Review of Theory and Empirical Work', Journal of Finance, vol. 25, no. 2, pp. 383-417. — 1998, 'Market efficiency, long-term returns, and behavioral finance', Journal of Financial Economics, vol. 49, no. 3, pp. 283-306. Fama, EF & French, KR 2004, 'The Capital Asset Pricing Model: Theory and Evidence', Journal of Economic Perspectives, vol. 18, no. 3, pp. 25-46. Farmer, JD 2001, 'Toward Agent-Based Models for Investment', in Developments in Quantitative Investment Models, AIMR. Farmer, JD & Geanakoplos, J 2008, 'The Virtues and Vices of Equilibrium and the Future of Financial Economics', Cowles Foundation, viewed 15 Feb. 2009, DOI Discussion Paper No. 1647, <http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1112664#>. Farmer, JD, Patelli, P & Zovko, II 2005, 'The predictive power of zero intelligence in financial markets', Proceeding of the National Academy of Science of the USA, vol. 102, no. 6, pp. 2254-9. Farmer, JD, Shubik, M & Smith, E 2005, 'Is Economics the Next Physical Science?' Physics Today, vol. 58, no. 9, pp. 37-42. Fernandez, C, Ley, E & Steel, MFJ 2001, 'Benchmark priors for Bayesian model averaging', Journal of Econometrics, vol. 100, pp. 381-427. Flieth, B & Foster, J 2002, 'Interactive expectations', Journal of Evolutionary Economics, vol. 12, no. 4, pp. 375-95. Foster, J 2005, 'From simplistic to complex systems in economics', Cambridge Journal of Economics, vol. 29, no. 6, pp. 873-92. — 2006, 'Why is Economics Not a Complex Systems Science?' Journal of Economic Issues, vol. 40, no. 4, pp. 1069-92. Foster, J & Potts, J 2009, 'A micro-meso-macro perspective on the methodology of evolutionary economics: integrating history, simulation and econometrics', in U Cantner, J-L Gaffard & L Nesta (eds), Schumpeterian Perspectives on Innovation, Competition and Growth, Springer. Friedman, M 1953, Essays in positive economics, University of Chicago Press, Chicago. Galán, JM, Izquierdo, LR, Izquierdo, SS, Santos, JI, Olmo, Rd, López-Paredes, A & Edmonds, B 2009, 'Errors and Artefacts in Agent-Based Modelling ', Journal of Artificial Societies and Social Simulation, vol. 12, no. 1, p. 1. Garratt, A, Lee, K, Mise, E & Shields, K 2007, 'Real time representations of the UK output gap in the presence of model uncertainty', Birkbeck College and University of Leicester. Garratt, A, Lee, K, Pesaran, MH & Shin, Y 2003, 'Forecast Uncertainties In Macroeconometric Modelling: An Application To The UK Economy ', Journal of the American Statistical Association, vol. 98, no. 464, pp. 829-38. George, TJ & Hwang, C-Y 2005, 'The 52-Week High and Momentum Investing', The Journal of Finance, vol. 59, no. 5, pp. 2145-76. Gibson, B 2007, 'A Multi-Agent Systems Approach to Microeconomic Foundations of Macro', Department of Economics, University of Massachusetts, Amherst, viewed 7 Feb. 2009, DOI Working Paper 2007-10, <http://www.umass.edu/economics/publications/2007-10.pdf>. — 2008, 'The Current Macroeconomic Crisis', Department of Economics, University of Massachusetts, Amherst, viewed 8 Feb. 2009, DOI Working Paper 2008-02, <http://www.umass.edu/economics/publications/2008-02.pdf>. Giddens, A 1984, The constitution of society: outline of the theory of structuration, University of California Press, Berkeley. — 1990, The consequences of modernity, Stanford University Press, Stanford, Calif. Gilbert, GN 2008, Agent-based models, Sage Publications, Los Angeles. Gilbert, GN & Troitzsch, KG 2005, Simulation for the social scientist, 2nd edn, Open University Press, Maidenhead. Gintis, H 2007, 'The Dynamics of General Equilibrium', The Economic Journal, vol. 117, no. 523, pp. 1280-390. Glaser, M, Noth, M & Weber, M 2004, 'Behavior finance', in DJ Koehler & N Harvey (eds), Blackwell handbook of judgment and decision making, Blackwell, Oxford, UK. Goldstein, J 1999, 'Emergence as a Construct: History and Issues', Emergence, vol. 1, no. 1, pp. 49-73. Gonzalez, C, Dana, J, Koshino, H & Just, M 2004, 'The framing effect and risky decisions: Examining cognitive functions with fMRI', Journal of Economic Psychology, vol. 26, no. 1. Gould, SJ 1980, The panda's thumb: more reflections in natural history, Norton, New York. — 1989, Wonderful life: the Burgess Shale and the nature of history, Norton, New York. Granger, CWJ 1969, 'Investigating causal relations by econometric models and cross-spectral methods', Econometrica, vol. 37, no. 3, pp. 424-38. Grebogi, C 2007, 'Chaotic Dynamics and Modelling', paper presented to Mini-workshop on Symmetries and Stability University of Canberra, 26-29 June 2007, <http://www.amsi.org.au/Symmetries.php>. Greene, WH 2003, Econometric analysis, 5th edn, Prentice Hall, Upper Saddle River, N.J. Greenwald, BC & Stiglitz, JE 1986, 'Externalities in Economics with Imperfect Information and Incomplete Markets', The Quarterly Journal of Economics, vol. 101, no. 2, pp. 229-64. Grimm, V, Revilla, E, Berger, U, Jeltsch, F, Mooij, WM, Railsback, SF, Thulke, H-H, Weiner, J, Wiegand, T & DeAngelis, DL 2005, 'Pattern-Oriented Modeling of Agent-Based Complex Systems: Lessons from Ecology', Science, vol. 310, pp. 987-91. GTAP 2009, Global Trade Analysis Project, Center for Global Trade Analysis, Department of Agricultural Economics, Purdue University viewed 12 Feb. 2009, <https://www.gtap.agecon.purdue.edu/default.asp>. Hahn, F 1984, Equilibrium and macroeconomics, Basil Blackwell, Oxford. Hanneman, RA & Riddle, M 2005, Introduction to social network methods, University of California, Riverside, California, <http://faculty.ucr.edu/~hanneman/nettext/>. Hayek, FAv 1973, Law, legislation and liberty: a new statement of the liberal principles of justice and political economy, 3 vols., University of Chicago Press, Chicago. Hicks, JR 1939, Value and capital, Oxford University Press, London. Holt, CC, Modigliani, F, Muth, JF & Simon, HA 1960, Planning production, inventories, and work force, Prentice-Hall international series in management, Prentice-Hall, Englewood Cliffs, N.J. Hutter, M 2005, Universal artificial intelligence: sequential decisions based on algorithmic probability, Texts in theoretical computer science, Springer, New York, NY. Ingber, L 1993, 'Simulated annealing: Practice versus theory', Journal of Mathematical and Computer Modelling, vol. 18, no. 11, pp. 29-57. — 2008, Adaptive Simulated Annealing (ASA), <http://www.ingber.com/ASA-README.pdf>. Jegadeesh, N & Titman, S 1993, 'Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency ', The Journal of Finance, vol. 48, no. 1, pp. 65-91. Jevons, WS 1911, The theory of political economy, 4th edn, Macmillan and co. limited, London. Johansen, L 1960, A multi-sectoral study of economic growth, Contributions to economic analysis, North-Holland, Amsterdam. Kahneman, D 2002, 'Maps of Bounded Rationality: A Perspective on Intuitive Judgement and Choice', paper presented to Les Prix Nobel 2002, Stockholm, <http://www.nobel.se/economics/laureates/2002/kahnemann-lecture.pdf>. — 2003, 'Maps of Bounded Rationality: Psychology for Behavioral Economics', The American Economic Review, vol. 93, no. 5, pp. 1449-75. Kahneman, D & Tversky, A 1979, 'Prospect Theory: An analysis of decisions under risk', Econometrica, vol. 47, no. 2, pp. 263-92. Kaldor, N 1957, 'A Model of Economic Growth', The Economic Journal, vol. 67, no. 267, pp. 591-624. Kass, RE & Raftery, AE 1995, 'Bayes Factors', Journal of the American Statistical Association, vol. 90. Keen, S 2001, Debunking economics: the naked emperor of the social sciences, Pluto Press, Annandale, N.S.W. — 2004, 'Deregulator: Judgment Day for microeconomics', Utilities Policy, vol. 12, pp. 109-25. Keen, S & Standish, R 2006, 'Profit maximization, industry structure, and competition: A critique of neoclassical theory', Physica A, vol. 370, no. 1, pp. 81-5. Kehoe, PJ & Kehoe, TJ 1994, 'A Primer on Static Applied General Equilibrium Models', Federal Reserve Bank of Minneapolis Quarterly Review, vol. 18, no. 1. Keynes, JM 1923, A tract on monetary reform, Macmillan, London. — 1937, 'The general theory of employment', The Quarterly Journal of Economics, vol. 51 no. 2, pp. 209-23. Kirkpatrick, S, Gelatt, CD & Vecchi, MP 1983, 'Optimization by Simulated Annealing', Science, vol. 220, no. 4598, pp. 671-80. Kirman, AP 1992, 'Whom or What Does the Representative Individual Represent?' Journal of Economic Perspectives, vol. 6, no. 2, pp. 117-36. Knight, FH 1921, Risk, uncertainty and profit, Houghton, New York. Koppl, R 1999, 'Expectations: Results from a Program in Subjectivist Economics', Fairleigh Dickinson University. — 2000, 'Policy Implications of Complexity: An Austrian Perspective', in DC Colander (ed.), The complexity vision and the teaching of economics, E. Elgar, Cheltenham, UK ; Northampton, MA, pp. xv, 307. Kydland, FE & Prescott, EC 1982, 'Time to Build and Aggregate Fluctuations', Econometrica, vol. 50, no. 6, pp. 1345-70. Lagarias, JC, Reeds, JA, Wright, MH & Wright, PE 1998, 'Convergence Properties of the Nelder-Mead Simplex Method in Low Dimensions', SIAM Journal of Optimization, vol. 9, no. 1, pp. 112-47. Lakatos, I 1976, Proofs and refutations: the logic of mathematical discovery, Cambridge University Press, Cambridge & New York. Langlois, C 1989, 'Markup Pricing versus Marginalism: A Controversy Revisited', Journal of Post Keynesian Economics, vol. 12, no. 1, pp. 127-51. Legg, S & Hutter, M 2007, 'Universal Intelligence: A Definition of Machine Intelligence', Minds and Machines, vol. 17, no. 4, pp. 391-444. Leontief, WW 1966, Input-output economics, Oxford University Press, New York. Levin, LA 1973, 'Universal sequential search problems', Problems of Information Transmission, vol. 9, pp. 265-6. Libet, B 1985, 'Unconscious Cerebral Initiative and the Role of Conscious Will in Voluntary Action', Behavioral and Brain Sciences, vol. 8, pp. 529-66. Lipsey, RG, Carlaw, KI & Bekar, C 2005, Economic Transformations: General Purpose Technologies and Long-run Economic Growth, Oxford University Press, Oxford. Lo, AW 2004, 'The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective ', Journal of Portfolio Management, vol. 30, no. Anniversary, pp. 15-29. Lo, AW & MacKinlay, AC 1999, A non-random walk down Wall Street, Princeton University Press, Princeton, N.J. Loungani, P 2000, How Accurate Are Private Sector Forecasts? Cross-Country Evidence from Consensus Forecasts of Output Growth, IMF Working Paper No. 00/77 Lovell, MC 1986, 'Tests of the Rational Expectations Hypothesis', The American Economic Review, vol. 76, no. 1, pp. 110-24. Lucas Jr., RE 1976, 'Econometric policy evaluation: A critique ', Carnegie-Rochester Conference Series on Public Policy, vol. 1, pp. 19-46. — 1986, 'Adaptive Behavior and Economic Theory ', The Journal of Business, vol. 59, no. 4, part 2, pp. S401-26. 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, vol. 33, no. 2, pp. 143-65. Majumdar, M & Radner, R 2008, 'Uncertainty and general equilibrium', in SN Durlauf & LE Blume (eds), The New Palgrave Dictionary of Economics Online, Palgrave Macmillan. Mäki, U 2002, Fact and fiction in economics, Cambridge University Press. Malkiel, BG 1973, A random walk down Wall Street, [1st edn, Norton, New York. Mandelbrot, BB 1963, 'The Variation of Certain Speculative Prices', The Journal of Business, vol. 36, no. 4, pp. 394-419. — 1967, 'The Variation of Some Other Speculative Prices ', The Journal of Business, vol. 40, no. 4, pp. 393-413. Mantel, RR 1974, 'On the characterization of aggregate excess demand', Journal of Economic Theory, vol. 7, no. 6, pp. 348-53. Marshall, A 1920, Principles of economics: an introductory volume, 8th edn, Macmillan, London. MathWorks 2007, Matlab and Simulink R2007a. McKenzie, LW 2008, 'General equilibrium', in SN Durlauf & LE Blume (eds), The New Palgrave Dictionary of Economics Online, Palgrave Macmillan. McKinnon, KIM 1998, 'Convergence of the Nelder-Mead simplex method to a non-stationary point', SIAM Journal of Optimization, vol. 9, no. 1, pp. 148-58. Metropolis, N, Rosenbluth, AW, Rosenbluth, MN, Teller, AH & Teller, E 1953, 'Equation of State Calculations by Fast Computing Machines ', The Journal of Chemical Physics, vol. 21, no. 6, pp. 1087-92. Miller, JH & Page, SE 2007, Complex adaptive systems: an introduction to computational models of social life, Princeton studies in complexity, Princeton University Press, Princeton, New Jersey. Milonakis, D & Fine, B 2008, From political economy to economics: method, the social and the historical in the evolution of economic theory, Routledge, New York. Mitra-Kahn, BH 2008, 'Debunking the Myths of Computable General Equilibrium Models', Schwartz Center for Economic Analysis, DOI Working Paper 2008-1, <http://www.newschool.edu/cepa/publications/workingpapers/SCEPA%20Working%20Paper%202008-1%20Kahn.pdf>. Morley, PD & García-Pelayo, R 1993, 'Scaling law for pulsar glitches', Europhysics Letters, vol. 23, p. 185. Musgrave, A 1981, '"Unreal assumptions" in economics theory: the F-twist untwisted', Kyklos, vol. 34, no. 3, pp. 377-87. Muth, JF 1960, 'Optimal Properties of Exponentially Weighted Forecasts', Journal of the American Statistical Association, vol. 55, no. 290, pp. 299-306. — 1961, 'Rational Expectations and the Theory of Price Movements', Econometrica, vol. 29, no. 3, pp. 315-35. Nelder, JA & Mead, R 1965, 'A Simplex Method for Function Minimization', The Computer Journal, vol. 7, no. 4, pp. 308-13. Nelson, RR & Winter, SG 1982, An evolutionary theory of economic change, Belknap Press of Harvard University Press, Cambridge, Mass. Nerlove, M 1964, 'On the Optimality of Adaptive Forecasting', Management Science, vol. 10, pp. 207-24. Neuman, WL 2003, Social research methods: qualitative and quantitative approaches, 5th edn, Allyn and Bacon, Boston; London. Newman, MEJ 1996, 'Self-Organized Criticality, Evolution and the Fossil Extinction Record', Proceedings of the Royal Society B: Biological Sciences, vol. 263, no. 1376, pp. 1605-10. Newman, MEJ, Barabási, A-L & Watts, DJ 2006, The structure and dynamics of networks, Princeton University Press, Princeton, N.J. O'Donoghue, T & Rabin, M 1999, 'Procrastination in Preparing for Retirement', in HJ Aaron (ed.), Behavioral Dimensions of Retirement Economics, Brookings Institution Press, Washington, DC. O'Hagan, A 1995, 'Fractional Bayes Factors for Model Comparison', Journal of the Royal Statistical Society, Series B, vol. 57, no. 1, pp. 99-138. Olami, Z, Feder, HJS & Christensen, K 1992, 'Self-organized criticality in a continuous, non-conservative cellular automaton modeling earthquakes', Physical Review Letters, vol. 68, no. 8, pp. 1244-7. Ormerod, P 2002, 'The US business cycle: power law scaling for interacting units with complex internal structure', Physica A, vol. 314, no. 1-4, pp. 774-85. — 2005, 'On system-wide failures in complex, evolving systems', paper presented to The International Workshop on Evolutionary Macroeconomics, University of Queensland, Brisbane, 14-17 July 2005, <http://www.uq.edu.au/economics/?page=34849>. Ormerod, P, Trabatti, M, Glass, K & Colbaugh, R 2007, 'Explaining Social and Economic Phenomena by Models with Low or Zero Cognition Agents ', in M Salzano & D Colander (eds), Complexity Hints for Economic Policy Springer, Milan, New York. Popper, K 1972a, Conjectures and refutations: the growth of scientific knowledge, 4th edn, Routledge and Kegan Paul, London and Henley. — 1972b, The logic of scientific discovery, 2nd rev. edn, Hutchinson, London. — 1972c, Objective knowledge: an evolutionary approach, Clarendon Press, Oxford. — 1999, All life is problem solving, Routledge, London & New York. Potts, J 2000, The new evolutionary microeconomics : complexity, competence, and adaptive behaviour, New horizons in institutional and evolutionary economics., E. Elgar Pub., Cheltenham, UK ; Northampton, MA, USA. Prescott, EC 1977, 'Should Control Theory be Used for Economic Stabilization', Carnegie-Rochester Conference Series on Public Policy, vol. 7, pp. 13-38. — 1988, 'Theory ahead of business cycle', in JE Hartley, KD Hoover & KD Salyer (eds), Real business cycles: a reader, Routledge. Pryor, FL 2000, 'Looking Backwards: Complexity Theory in 2008', in DC Colander (ed.), The complexity vision and the teaching of economics, E. Elgar, Cheltenham, UK ; Northampton, MA, pp. xv, 307. Puria, M & Robinson, DT 2007, 'Optimism and economic choice', Journal of Financial Economics, vol. 86, no. 1, pp. 71-99. Richter, MK & Wong, K-C 1999, 'Non-computability of competitive equilibrium', Economic Theory, vol. 14, no. 1, pp. 1-27. Rizvi, SAT 1994, 'The Microfoundations Project in General Equilibrium Theory', Cambridge Journal of Economics, vol. 18, no. 4, pp. 357-77. Rotemberg, JJ & Woodford, M 1996, 'Real-Business-Cycle Models and the Forecastable Movements in Output, Hours, and Consumption', American Economic Review, vol. 86, no. 1, pp. 71-89. — 1997, 'An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy', NBER Macroeconomics Annual, vol. 12, pp. 297-346. Salzano, M & Colander, D 2007, Complexity Hints for Economic Policy Springer, Milan, New York. Santos, MS & Woodford, M 1997, 'Rational Asset Pricing Bubbles', Econometrica, vol. 65, no. 1, pp. 19-57. Sargent, TJ 2008, 'Rational Expectations', in The Concise Encyclopedia of Economics, Library of Economics and Liberty. Savage, LJ 1954, The foundations of statistics, Wiley, New York. Scarf, HE 1967a, 'The approximation of Fixed Points of a continuous mapping', SIAM Journal on Applied Mathematics, vol. 15, no. 5, pp. 1328-43. — 1967b, 'On the computation of equilibrium prices', in I Fisher & WJ Fellner (eds), Ten economic studies in the tradition of Irving Fisher, J. Wiley, New York, p. 284p. Scarf, HE & Hansen, T 1973, The computation of economic equilibria, Yale University Press, New Haven. Schaffer, WA 1999, Regional Impact Models, Regional Research Institute, West Virginia University, viewed 10 August 2004, <http://www.rri.wvu.edu/regscweb.htm>. Schumpeter, JA 1939, Business cycles: a theoretical, historical, and statistical analysis of the capitalist process, McGraw-Hill, New York. Schwarz, G 1978, 'Estimating the dimension of a model', The Annals of Statistics, vol. 6, no. 2, pp. 461-4. Schwert, GW 2003, 'Anomalies and market efficiency', in GM Constantinides, M Harris & RM Stulz (eds), Handbook of the economics of finance, Boston, Mass. : Elsevier/North-Holland. Shiller, RJ 1981, 'Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?' The American Economic Review, vol. 71, no. 3, pp. 421-36. — 1993, 'From Efficient Markets Theory to Behavioral Finance From Efficient Markets Theory to Behavioral Finance', The Journal of Economic Perspectives, vol. 17, no. 1, pp. 83-104. — 2005, Irrational exuberance, 2nd edn, Princeton University Press, Princeton, N.J. Shoven, JB & Whalley, J 1972, 'A general equilibrium calculation of the effects of differential taxation of income from capital in the U.S.' Journal of Public Economics, vol. 1, no. 3-4, pp. 281-321. — 1973, 'General Equilibrium with Taxes: A Computational Procedure and an Existence Proof', The Review of Economic Studies, vol. 40, no. 4, pp. 475-89. Simon, HA 1972, 'Theories of bounded rationality', in CB McGuire & R Radner (eds), Decision and Organization, Amsterdam, North-Holland, pp. 161-76. — 1979, 'Rational Decision Making in Business Organizations', The American Economic Review, vol. 69, no. 4, pp. 493-513. — 1984, 'On the behavioral and rational foundations of economic dynamics', Journal of Economic Behavior and Organization, vol. 5, no. 1, pp. 35-55. Smith, ER & Conrey, FR 2007, 'Agent-Based Modeling: A New Approach for Theory Building in Social Psychology', Personality and Social Psychology Review, vol. 11, no. 1, pp. 87-104. Smith, VL 1991, 'Rational Choice: The Contrast between Economics and Psychology ', The Journal of Political Economy, vol. 99, no. 4, pp. 877-97. — 2007, Markets and Experimental Economics, Library of Economics and Liberties, <http://www.econtalk.org/archives/2007/05/vernon_smith_on.html>. Sonnenschein, H 1972, 'Market Excess Demand Functions', Econometrica, vol. 40, no. 3, pp. 549-63. — 1973, 'Do Walras' identity and continuity characterize the class of community excess demand functions?' Journal of Economic Theory, vol. 6, no. 4, pp. 345-54. Stadler, GW 1994, 'Real Business Cycles', Journal of Economic Literature, vol. 32, no. 4, pp. 1750-83. Sterman, JD 2000, Business dynamics : systems thinking and modeling for a complex world, Irwin/McGraw-Hill, Boston. Stone, R 1960, 'The Cambridge Growth Project', Department of Applied Economics, University of Cambridge, Cambridge, UK, viewed 7 February 2009, <http://www.econ.cam.ac.uk/research/cgp/index.html>. Summers, LH 1986, Some Skeptical Observations on the Real Business Cycle Theory, Quarterly Review, Fall, Federal Reserve Bank of Minneapolis. Sutter, M, Kocher, MG & Strauß, S 2009, 'Individuals and teams in auctions', Oxford Economic Papers, vol. 61, no. 2, pp. 380-94. Tarshis, L 1939, 'Changes in Real and Money Wages', Economic Journal, vol. 49, no. 193, pp. 150-4. Taylor, L & Black, SL 1974, 'Practical general equilibrium estimation of resource pulls under trade liberalization', Journal of International Economics, vol. 4, no. 1, pp. 37-58. Tesfation, L 2002, 'Agent-Based Computational Economics: Growing Economies from the Bottom Up', Artificial Life, vol. 8, no. 1, pp. 55-82. Thaler, RH & Mullainathan, S 2008, 'Behavioural Economics', in The Concise Encyclopedia of Economics, Library of Economics and Liberty. Troitzsch, KG 2009, 'Not All Explanations Predict Satisfactorily, and Not All Good Predictions Explain', Journal of Artificial Societies and Social Simulation, vol. 12, no. 1, p. 10. Tukey, J 1962, 'The Future of Data Analysis', The Annals of Mathematical Statistics, vol. 33, no. 1, pp. 1-67. Tversky, A & Kahneman, D 1974, 'Judgment under uncertainty: Heuristics and biases', Science, vol. 185, pp. 1124-31. van der Sa, NL 2004, 'Behavioral finance: How matters stand ', Journal of Economic Psychology, vol. 25, no. 3, pp. 425-44. Veblen, T 1899, The theory of the leisure class : an economic study of institutions, Macmillan, New York, London. Velupillai, KV 2006, 'Algorithmic foundations of computable general equilibrium theory', Applied Mathematics and Computation, vol. 179, no. 1, pp. 360-9. — 2007, 'The Impossibility of an Effective Theory of Policy in a Complex Economy', in M Salzano & D Colander (eds), Complexity Hints for Economic Policy Springer, Milan, New York. Vercelli, A 2007, 'Rationality, learning and complexity: from the Homo economicus to the Homo sapiens', in M Salzano & D Colander (eds), Complexity Hints for Economic Policy Springer, Milan, New York. Von Neumann, J & Burks, AW 1966, Theory of self-reproducing automata, University of Illinois Press, Urbana. Von Neumann, J & Morgenstern, O 1944, Theory of games and economic behavior, Princeton University Press, Princeton. Walker, D 1996, Walras's Market Models, Cambridge University Press, Cambridge. Walras, L 1874, Elements d'economie politique pure, ou, Theorie de la richesse sociale, Pichon and Durand, Paris. — 1926, Elements d'economie politique pure, ou, Theorie de la richesse sociale, Ed. definitive. edn, Pichon and Durand, Paris. — 1954, Elements of pure economics, or, The theory of social wealth, published for the American Economic Association and the Royal Economic Society by Allen and Unwin, London. Watts, DJ & Strogatz, SH 1998, 'Collective dynamics of 'small-world' networks', Nature, vol. 393, pp. 440-2. Weinberger, E 1990, 'Correlated and uncorrelated fitness landscapes and how to tell the difference', Biological Cybernetics, vol. 63, no. 5, pp. 325-36. Weintraub, ER 1985, General equilibrium analysis : studies in appraisal, Historical perspectives on modern economics., Cambridge University Press, Cambridge [Cambridgeshire] ; New York. Wilensky, U 1999, NetLogo, Center for Connected Learning and Computer-Based Modeling, Northwestern University, Evanston, IL, 30 May 2007, <http://ccl.northwestern.edu/netlogo/>. — 2001, 'Modeling Nature’s Emergent Patterns with Multi-agent Languages', viewed 30 May 2007, <http://ccl.northwestern.edu/netlogo/docs/>. — 2005, NetLogo Small Worlds model, Center for Connected Learning and Computer-Based Modeling, Northwestern University, Evanston, IL, <http://ccl.northwestern.edu/netlogo/models/SmallWorlds>. WordNet® 3.0 Princeton University 2009, Instrumentalism, 8 April 2009, <http://dictionary.reference.com/browse/instrumentalism>. Yu, AJ & Cohen, JD 2009, 'Sequential effects: Superstition or rational behavior?' Advances in Neural Information Processing Systems forthcoming, vol. 21. |

URI: | https://mpra.ub.uni-muenchen.de/id/eprint/38260 |