Bubbles and crashes: gradient dynamics in financial markets

DOI10.1016/j.jedc.2008.10.006zbMath1170.91442OpenAlexW1974701066MaRDI QIDQ2271680

Yanyan Li

Publication date: 7 August 2009

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.10.006

zbMATH Keywords

bubblesagent-based modelsescape dynamicsconstant-gain learningtime varying risk premium

Mathematics Subject Classification ID

Trade models (91B60) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (5)

A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation ⋮ Endogenous leverage and asset pricing in double auctions ⋮ A dynamic model of oligopoly with R\&D externalities along networks. I. ⋮ A simple model for market booms and crashes ⋮ Leverage causes fat tails and clustered volatility

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Evolutionary dynamics in markets with many trader types
• Conspicuous consumption dynamics
• On the unstable behaviour of stock exchanges
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Bubbles and market crashes
• Individual learning in normal form games: Some laboratory results
• Agent-based computational finance: Suggested readings and early research
• Heterogeneous beliefs and the non-linear cobweb model
• On the Possibility of Speculation under Rational Expectations
• INFORMATION DYNAMICS IN FINANCIAL MARKETS
• Escaping Nash Inflation
• The General Theory of Employment, Interest, and Money
• Learning, Mutation, and Long Run Equilibria in Games
• The Evolution of Conventions

This page was built for publication: Bubbles and crashes: gradient dynamics in financial markets