Skip to Main content Skip to Navigation
Other publications

Rational expectations and stochastic systems

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.
Document type :
Other publications
Complete list of metadatas

Cited literature [29 references]  Display  Hide  Download

https://halshs.archives-ouvertes.fr/halshs-01673338
Contributor : Lucie Label <>
Submitted on : Friday, November 29, 2019 - 6:22:37 PM
Last modification on : Sunday, January 19, 2020 - 6:38:28 PM

File

17060R.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : halshs-01673338, version 2

Collections

Citation

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

Share

Metrics

Record views

34

Files downloads

20