Rational expectations and stochastic systems

Jørgen Vitting Andersen (1) , Roy Cerqueti (2) , Jessica Riccioni (2)

1 CES - Centre d'économie de la Sorbonne
2 UNIMC - Università degli Studi di Macerata = University of Macerata

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.

Mots clés: systemic risk; reliability; stochastic system; Rational expectation; finance; evolutionary economics

Domaines: Economies et finances

Jørgen Vitting Andersen, Roy Cerqueti, Jessica Riccioni. Rational expectations and stochastic systems. 2019. ⟨halshs-01673338v2⟩