Rahn, R. Joel with Song Yuzhu Effects of Stochasticity on an Aggregate Dynamic Model of Commodity Cycles", 1990

EFFECTS OF STOCHASTICITY
ON AN AGGREGATE DYNAMIC MODEL
OF COMMODITY CYCLES

R. Joel Rahn,
Song Yuzhu
Facuité des sciences de ]’administration
Université Laval
Ste-Foy Québec
G1K 7P4 CANADA

ABSTRACT

In previous papers, various approaches to studying the relationships
between an aggregate dynamic model and an underlying, stochastic system
have been reported. These approaches include the use of a Master
Equation model to derive the aggregate model from stochastic
hypotheses, and the summation over a population of dynamic sub-models
to estimate the aggregate behaviour. In this paper, a commodity cycle
model is re-formulated as a stochastic, discrete simulation model to
study the effects of stochasticity on the aggregate behaviour of the
system. Global variables provide aggregate information links to
control the arrival and departure of new entities (commodity units and
capacity units). A comparison of the aggregate dynamics of the
stochastic and the equivalent system dynamics models is made under
conditions in which the dynamic model is oscillatory and undergoing
period-doubling bifurcations leading to chaos.

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