A prototype model of speculative dynamics with position-based trading

DOI10.1016/J.JEDC.2009.01.006MaRDI QIDQ2270567zbMATH OpenOpenAlexFDO

Authors Reiner Franke

Publication date 28 July 2009

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2009.01.006

zbMATH Keywords

misalignmentasset pricingneutral delay-differential equationmarket maker risk aversion

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50)

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Cites work

• scientific article; zbMATH DE number 1736599 (Why is no real title available?)
• scientific article; zbMATH DE number 1128810 (Why is no real title available?)
• Applications of Sturm sequences to bifurcation analysis of delay differential equation models
• Asset price and wealth dynamics in a financial market with heterogeneous agents
• Complex Dynamics, Market Mediation and Stock Price Behavior
• Market-maker, inventory control and foreign exchange dynamics
• Power-law behaviour, heterogeneity, and trend chasing
• Some simple criteria for stability of neutral delay-differential systems
• The Nonlinear Accelerator and the Persistence of Business Cycles

Cited in

(5)

• scientific article; zbMATH DE number 1910707 (Why is no real title available?)
• Heterogeneous speculators and asset price dynamics: Further results from a one-dimensional discontinuous piecewise-linear map
• Interactions between stock, bond and housing markets
• Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates
• TRADER DYNAMICS IN A MODEL MARKET

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