A Stochastic Version of Zeeman's Market Model
In a heterogenous agents framework, we study a randomized version of Zeeman's market model with fundamental and momentum traders. Using methods from random dynamical systems theory, we examine convergence properties of invariant measures which correspond to market equilibria. It turns out that due to a stochastic stabilisation effect the market stays stable up to some critical value of speculative activity. If this threshold is surpassed, sudden trend reversals are possible without being induced by some exogenous shock.
Year of publication: |
2004
|
---|---|
Authors: | Thorsten, Rheinlaender ; Marcus, Steinkamp |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - De Gruyter, ISSN 1558-3708. - Vol. 8.2004, 4, p. 1-25
|
Publisher: |
De Gruyter |
Saved in:
Online Resource
Saved in favorites
Similar items by subject
-
Find similar items by using search terms and synonyms from our Thesaurus for Economics (STW).