Speculative behavior and the dynamics of interacting stock markets

DOI10.1016/j.jedc.2014.05.009zbMath1402.91897MaRDI QIDQ1994607

Noemi Schmitt, Frank H. Westerhoff

Publication date: 1 November 2018

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

Full work available at URL: http://hdl.handle.net/10419/88115

zbMATH Keywords

simulation analysis; agent-based modeling; stock markets; cross-correlations; technical and fundamental analysis; comovements

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91B69: Heterogeneous agent models

Related Items

Time-varying economic dominance in financial markets: A bistable dynamics approach, A financial market model with two discontinuities: Bifurcation structures in the chaotic domain, Agents' beliefs and economic regimes polarization in interacting markets, On the bimodality of the distribution of the S\&P 500's distortion: empirical evidence and theoretical explanations, The stock-bond comovements and cross-market trading, Interactions between stock, bond and housing markets, Time-varying arbitrage and dynamic price discovery, Some reflections on past and future of nonlinear dynamics in economics and finance, Steady states, stability and bifurcations in multi-asset market models, Contagion between asset markets: a two market heterogeneous agents model with destabilising spillover effects, Cross-section instability in financial markets: impatience, extrapolation, and switching, Statistical arbitrage and risk contagion

Cites Work

• Excess covariance and dynamic instability in a multi-asset model
• Structural stochastic volatility in asset pricing dynamics: estimation and model contest
• An evolutionary CAPM under heterogeneous beliefs
• The heterogeneous expectations hypothesis: Some evidence from the lab
• The interplay between two stock markets and a related foreign exchange market: A simulation approach
• Speculative markets and the effectiveness of price limits
• 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
• Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates
• Financial crises and interacting heterogeneous agents
• On the specification of noise in two agent-based asset pricing models
• Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
• Behavioral heterogeneity in stock prices
• Estimation of agent-based models: The case of an asymmetric herding model
• Power-law behaviour, heterogeneity, and trend chasing
• More hedging instruments may destabilize markets
• 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
• RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS
• When Micro Prudence Increases Macro Risk: The Destabilizing Effects of Financial Innovation, Leverage, and Diversification
• Empirical properties of asset returns: stylized facts and statistical issues
• MULTIASSET MARKET DYNAMICS
• Introduction to Econophysics
• BUBBLES IN FOREIGN EXCHANGE MARKETS
• The Dynamic Interaction of Speculation and Diversification
• Unnamed Item
• Unnamed Item