Speculative markets and the effectiveness of price limits

DOI10.1016/S0165-1889(02)00185-9zbMATH Open1179.91083MaRDI QIDQ951476FDOQ951476

Authors: Frank Westerhoff 

Publication date: 24 October 2008

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

Recommendations

• Examining the effectiveness of price limits in an artificial stock market
• Speculative behavior and asset price dynamics
• Price limits and stock market volatility.
• Commodity markets, price limiters and speculative price dynamics
• Speculative price dynamics in a heterogeneous agent model

zbMATH Keywords

price limitsspeculative marketstechnical and fundamental trading rules

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• A simple general approach to inference about the tail of a distribution
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Price limits and stock market volatility.
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• Financial markets as nonlinear adaptive evolutionary systems
• Statistical physics in foreign exchange currency and stock markets

Cited In (20)

• SECURITY MARKETS WITH PRICE LIMITS: A BAYESIAN APPROACH
• Dynamical analysis for a model of asset prices with two delays
• On the specification of noise in two agent-based asset pricing models
• Bifurcation analysis of a non-standard finite difference scheme for a time-delayed model of asset prices
• Introducing a price variation limiter mechanism into a behavioral financial market model
• Speculative behavior and the dynamics of interacting stock markets
• The great crypto crash in September 2018: why did the cryptocurrency market collapse?
• A robust rational route to randomness in a simple asset pricing model
• TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS
• Examining the effectiveness of price limits in an artificial stock market
• Financial power laws: empirical evidence, models, and mechanisms
• Commodity markets, price limiters and speculative price dynamics
• THE WORKING OF CIRCUIT BREAKERS WITHIN PERCOLATION MODELS FOR FINANCIAL MARKETS
• The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach
• Power-law behaviour, heterogeneity, and trend chasing
• Price limits and stock market volatility.
• Heterogeneous fundamentalists and market maker inventories
• Do price limits help control stock price volatility?
• Revisiting Paul de Grauwe's chaotic exchange rate model: new analytical insights and agent-based explorations
• Speculation and destabilisation

This page was built for publication: Speculative markets and the effectiveness of price limits

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q951476)