Rational expectations and stochastic systems

Jørgen Vitting Andersen (), Roy Cerqueti and Giulia Rotundo ()
Additional contact information
Jørgen Vitting Andersen: Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.cnrs.fr
Giulia Rotundo: Sapienza University of Rome, Department of Economics, Italy

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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: Rational expectation; stochastic system; systemic risk; evolutionary economics (search for similar items in EconPapers)
JEL-codes: G01 G1 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2017-12, Revised 2019-10
New Economics Papers: this item is included in nep-upt
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https://halshs.archives-ouvertes.fr/halshs-01673338 (application/pdf)

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:mse:cesdoc:17060

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