Speculative markets and the effectiveness of price limits

DOI10.1016/S0165-1889(02)00185-9zbMath1179.91083MaRDI QIDQ951476

Frank H. Westerhoff

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

price limitsspeculative marketstechnical and fundamental trading rules

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (15)

Dynamical analysis for a model of asset prices with two delays ⋮ TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS ⋮ Examining the effectiveness of price limits in an artificial stock market ⋮ Revisiting Paul de Grauwe's chaotic exchange rate model: new analytical insights and agent-based explorations ⋮ Introducing a price variation limiter mechanism into a behavioral financial market model ⋮ Heterogeneous fundamentalists and market maker inventories ⋮ Financial power laws: empirical evidence, models, and mechanisms ⋮ A robust rational route to randomness in a simple asset pricing model ⋮ Commodity markets, price limiters and speculative price dynamics ⋮ The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach ⋮ Speculative behavior and the dynamics of interacting stock markets ⋮ Bifurcation analysis of a non-standard finite difference scheme for a time-delayed model of asset prices ⋮ On the specification of noise in two agent-based asset pricing models ⋮ Power-law behaviour, heterogeneity, and trend chasing ⋮ THE WORKING OF CIRCUIT BREAKERS WITHIN PERCOLATION MODELS FOR FINANCIAL MARKETS

Cites Work

• A simple general approach to inference about the tail of a distribution
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• Statistical physics in foreign exchange currency and stock markets
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Financial markets as nonlinear adaptive evolutionary systems
• Price limits and stock market volatility.

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