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DOI:	10.1371/journal.pone.0129070
论文题名:	Endogenous Price Bubbles in a Multi-Agent System of the Housing Market
作者:	Roy Kouwenberg; Remco C. J. Zwinkels
刊名:	PLOS ONE
ISSN:	1932-6203
出版年:	2015
发表日期:	2015-6-24
卷:	10, 期:6
语种:	英语
英文关键词:	Agent-based modeling ; Housing ; Economic agents ; Forecasting ; Economic models ; Finance ; Complex systems ; Economic history
英文摘要:	Economic history shows a large number of boom-bust cycles, with the U.S. real estate market as one of the latest examples. Classical economic models have not been able to provide a full explanation for this type of market dynamics. Therefore, we analyze home prices in the U.S. using an alternative approach, a multi-agent complex system. Instead of the classical assumptions of agent rationality and market efficiency, agents in the model are heterogeneous, adaptive, and boundedly rational. We estimate the multi-agent system with historical house prices for the U.S. market. The model fits the data well and a deterministic version of the model can endogenously produce boom-and-bust cycles on the basis of the estimated coefficients. This implies that trading between agents themselves can create major price swings in absence of fundamental news.
URL:	http://journals.plos.org/plosone/article/file?id=10.1371/journal.pone.0129070&type=printable
Citation statistics:
资源类型:	期刊论文
标识符:	http://119.78.100.158/handle/2HF3EXSE/21199
Appears in Collections:	过去全球变化的重建影响、适应和脆弱性科学计划与规划气候变化与战略全球变化的国际研究计划气候减缓与适应气候变化事实与影响

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File Name/ File Size	Content Type	Version	Access	License
journal.pone.0129070.PDF（368KB）	期刊论文	作者接受稿	开放获取	CC BY-NC-SA	View Download

作者单位:

College of Management, Mahidol University, Bangkok, Thailand;Finance Department, VU University, Amsterdam, The Netherlands;Tinbergen Institute, Amsterdam, The Netherlands

Recommended Citation:

Roy Kouwenberg,Remco C. J. Zwinkels. Endogenous Price Bubbles in a Multi-Agent System of the Housing Market[J]. PLOS ONE,2015-01-01,10(6)

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