Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates

DOI10.1016/j.jedc.2009.11.002zbMath1202.91184OpenAlexW2119335483MaRDI QIDQ964583

Roberto Dieci, Frank H. Westerhoff

Publication date: 22 April 2010

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2009.11.002

zbMATH Keywords

bifurcation analysisnonlinear dynamics and chaosfinancial market interactions

Mathematics Subject Classification ID

Economic dynamics (91B55) Heterogeneous agent models (91B69) Actuarial science and mathematical finance (91G99)

Related Items

Heterogeneous expectations, boom-bust housing cycles, and supply conditions: a nonlinear economic dynamics approach ⋮ Optimal monetary policy in a New Keynesian model with animal spirits and financial markets ⋮ Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics ⋮ On the Concept of Endogenous Volatility ⋮ Time-varying economic dominance in financial markets: A bistable dynamics approach ⋮ Co-existence of trend and value in financial markets: estimating an extended Chiarella model ⋮ A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market ⋮ A model of information flows and confirmatory bias in financial markets ⋮ The heterogeneous expectations hypothesis: Some evidence from the lab ⋮ Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends ⋮ On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets ⋮ Credit market dynamics: a cobweb model ⋮ An evolutionary CAPM under heterogeneous beliefs ⋮ Analysis of a heterogeneous trader model for asset price dynamics ⋮ Heterogeneous agents in multi-markets: a coupled map lattices approach ⋮ Dynamical analysis of a banking duopoly model with capital regulation and asymmetric costs ⋮ Necessary and sufficient conditions for the roots of a cubic polynomial and bifurcations of codimension-1, -2, -3 for 3D maps ⋮ Coordinated bubbles and crashes ⋮ Exchange rate expectations of chartists and fundamentalists ⋮ Speculative behavior and the dynamics of interacting stock markets ⋮ Interactions between the real economy and the stock market: a simple agent-based approach ⋮ Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach ⋮ The emergence of bull and bear dynamics in a nonlinear model of interacting markets

Cites Work

• Unnamed Item
• Unnamed Item
• Financial power laws: empirical evidence, models, and mechanisms
• The dynamics of speculative behaviour
• Informational differences and learning in an asset market with boundedly rational agents
• Staggered updating in an artificial financial market
• On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets
• The interplay between two stock markets and a related foreign exchange market: A simulation approach
• Heterogeneity of agents, transactions costs and the exchange rate
• On the performance of efficient portfolios
• 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
• Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders
• Behavioral heterogeneity in stock prices
• 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
• Time variation of second moments from a noise trader/infection model
• From bi-stability to chaotic oscillations in a macroeconomic model
• Agent-based computational finance: Suggested readings and early research
• A prototype model of speculative dynamics with position-based trading
• Exchange rate dynamics in a target zone-A heterogeneous expectations approach
• Heterogeneity, convergence, and autocorrelations
• A Rational Route to Randomness
• Empirical properties of asset returns: stylized facts and statistical issues
• Asset price and wealth dynamics under heterogeneous expectations
• MULTIASSET MARKET DYNAMICS
• The Dynamic Interaction of Speculation and Diversification