On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets

DOI10.1016/J.AMC.2013.06.042zbMATH Open1329.91157OpenAlexW1985235642MaRDI QIDQ905302FDOQ905302

Authors: Roberto Dieci, Frank Westerhoff 

Publication date: 19 January 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/45551

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zbMATH Keywords

exchange ratesmarket stabilitystock pricestechnical and fundamental analysisendogenous dynamicsnonlinear market interactions

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic dynamics (91B55) Financial applications of other theories (91G80) Actuarial science and mathematical finance (91G99)

Cites Work

• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Behavioral heterogeneity in stock prices
• Estimation of agent-based models: The case of an asymmetric herding model
• Price stability and volatility in markets with positive and negative expectations feedback: an experimental investigation
• MULTIASSET MARKET DYNAMICS
• Estimation of a structural stochastic volatility model of asset pricing
• The Dynamic Interaction of Speculation and Diversification
• The dynamics of speculative behaviour
• 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
• An evolutionary CAPM under heterogeneous beliefs
• Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates
• The emergence of bull and bear dynamics in a nonlinear model of interacting markets
• More hedging instruments may destabilize markets
• Asset price and wealth dynamics in a financial market with heterogeneous agents
• Global bifurcations in a three-dimensional financial model of bull and bear interactions
• The interplay between two stock markets and a related foreign exchange market: A simulation approach

Cited In (6)

• Nonlinear evolution research for stock market, money market and foreign exchange market
• Bargaining models in opinion dynamics
• The interplay between two stock markets and a related foreign exchange market: A simulation approach
• Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates
• Global bifurcations in a three-dimensional financial model of bull and bear interactions
• The emergence of bull and bear dynamics in a nonlinear model of interacting markets

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