Rational expectations and stochastic systems

Jørgen Vitting Andersen (), Roy Cerqueti and Jessica Riccioni
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Jørgen Vitting Andersen: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Jessica Riccioni: UNIMC - Università degli Studi di Macerata = University of Macerata

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Abstract: This paper proposes a stochastic model for describing rational expectations. The context is systemic risk, with interconnected components of a unified system. The evolution dynamics leading to the failure of the system is explored either under a theoretical point of view as well as through an extensive scenario analysis.

Keywords: systemic risk; reliability; stochastic system; Rational expectation; finance; evolutionary economics (search for similar items in EconPapers)
Date: 2019-10
New Economics Papers: this item is included in nep-rmg and nep-upt
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01673338v2
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Published in 2019

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Related works:
Working Paper: Rational expectations and stochastic systems (2019)
Working Paper: Rational expectations and stochastic systems (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-01673338

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