Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates

DOI10.1016/J.JEDC.2009.11.002zbMATH Open1202.91184OpenAlexW2119335483MaRDI QIDQ964583FDOQ964583

Authors: Roberto Dieci, Frank Westerhoff 

Publication date: 22 April 2010

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.2009.11.002

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zbMATH Keywords

bifurcation analysisnonlinear dynamics and chaosfinancial market interactions

Mathematics Subject Classification ID

Economic dynamics (91B55) Actuarial science and mathematical finance (91G99) Heterogeneous agent models (91B69)

Cites Work

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Cited In (26)

• Optimal monetary policy in a New Keynesian model with animal spirits and financial markets
• Exchange rate expectations of chartists and fundamentalists
• On the concept of endogenous volatility
• Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics
• Speculative behavior and the dynamics of interacting stock markets
• Dynamical analysis of a banking duopoly model with capital regulation and asymmetric costs
• Necessary and sufficient conditions for the roots of a cubic polynomial and bifurcations of codimension-1, -2, -3 for 3D maps
• Heterogeneous agents in multi-markets: a coupled map lattices approach
• Analysis of a heterogeneous trader model for asset price dynamics
• Credit market dynamics: a cobweb model
• Heterogeneous expectations, boom-bust housing cycles, and supply conditions: a nonlinear economic dynamics approach
• The heterogeneous expectations hypothesis: Some evidence from the lab
• An evolutionary CAPM under heterogeneous beliefs
• A model of information flows and confirmatory bias in financial markets
• Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends
• On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets
• The interplay between two stock markets and a related foreign exchange market: A simulation approach
• Coordinated bubbles and crashes
• A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market
• Time-varying economic dominance in financial markets: a bistable dynamics approach
• Co-existence of trend and value in financial markets: estimating an extended Chiarella model
• Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach
• Global bifurcations in a three-dimensional financial model of bull and bear interactions
• Interactions between the real economy and the stock market: a simple agent-based approach
• Speculative and hedging interaction model in oil and U.S. dollar markets -- phase transition
• The emergence of bull and bear dynamics in a nonlinear model of interacting markets

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