On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets
From MaRDI portal
Publication:905302
DOI10.1016/j.amc.2013.06.042zbMath1329.91157MaRDI QIDQ905302
Roberto Dieci, Frank H. Westerhoff
Publication date: 19 January 2016
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/45551
exchange rates; stock prices; market stability; technical and fundamental analysis; endogenous dynamics; nonlinear market interactions
91B24: Microeconomic theory (price theory and economic markets)
91G80: Financial applications of other theories
91B55: Economic dynamics
91G99: Actuarial science and mathematical finance
Related Items
Bargaining models in opinion dynamics, Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates
Cites Work
- An evolutionary CAPM under heterogeneous beliefs
- Estimation of a structural stochastic volatility model of asset pricing
- The dynamics of speculative behaviour
- The interplay between two stock markets and a related foreign exchange market: A simulation approach
- A global optimization heuristic for estimating agent based models
- The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach
- Asset price and wealth dynamics in a financial market with heterogeneous agents
- Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates
- Behavioral heterogeneity in stock prices
- Estimation of agent-based models: The case of an asymmetric herding model
- More hedging instruments may destabilize markets
- The emergence of bull and bear dynamics in a nonlinear model of interacting markets
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Price stability and volatility in markets with positive and negative expectations feedback: an experimental investigation
- Global Bifurcations in a Three-Dimensional Financial Model of Bull and Bear Interactions
- MULTIASSET MARKET DYNAMICS
- The Dynamic Interaction of Speculation and Diversification