Speculative markets and the effectiveness of price limits
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Publication:951476
DOI10.1016/S0165-1889(02)00185-9zbMath1179.91083MaRDI QIDQ951476
Publication date: 24 October 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
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Related Items (15)
Dynamical analysis for a model of asset prices with two delays ⋮ TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS ⋮ Examining the effectiveness of price limits in an artificial stock market ⋮ Revisiting Paul de Grauwe's chaotic exchange rate model: new analytical insights and agent-based explorations ⋮ Introducing a price variation limiter mechanism into a behavioral financial market model ⋮ Heterogeneous fundamentalists and market maker inventories ⋮ Financial power laws: empirical evidence, models, and mechanisms ⋮ A robust rational route to randomness in a simple asset pricing model ⋮ Commodity markets, price limiters and speculative price dynamics ⋮ The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach ⋮ Speculative behavior and the dynamics of interacting stock markets ⋮ Bifurcation analysis of a non-standard finite difference scheme for a time-delayed model of asset prices ⋮ On the specification of noise in two agent-based asset pricing models ⋮ Power-law behaviour, heterogeneity, and trend chasing ⋮ THE WORKING OF CIRCUIT BREAKERS WITHIN PERCOLATION MODELS FOR FINANCIAL MARKETS
Cites Work
- 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
- Statistical physics in foreign exchange currency and stock markets
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Financial markets as nonlinear adaptive evolutionary systems
- Price limits and stock market volatility.
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