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

DOI10.1016/J.AMC.2013.06.042MaRDI QIDQ905302zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• A global optimization heuristic for estimating agent based models
• An evolutionary CAPM under heterogeneous beliefs
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• Behavioral heterogeneity in stock prices
• Estimation of a structural stochastic volatility model of asset pricing
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• Global bifurcations in a three-dimensional financial model of bull and bear interactions
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates
• MULTIASSET MARKET DYNAMICS
• More hedging instruments may destabilize markets
• Price stability and volatility in markets with positive and negative expectations feedback: an experimental investigation
• The Dynamic Interaction of Speculation and Diversification
• The dynamics of speculative behaviour
• The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach
• The emergence of bull and bear dynamics in a nonlinear model of interacting markets
• The interplay between two stock markets and a related foreign exchange market: A simulation approach

Cited in

(6)

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

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