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Year of publication
Subject
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Heterogeneous agents 1 Invariant measures 1 Random dynamical systems 1 Speculative behaviour 1 Stochastic bifurcations 1 chartists 1 heterogeneous agents 1 invariant measures 1 random dynamical systems 1 speculative behaviour 1 stochastic bifurcations 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Language
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Undetermined 2
Author
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Chiarella, Carl 2 He, Xue-Zhong 2 Zheng, Min 2 Wang, Duo 1
Institution
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Finance Discipline Group, Business School 1
Published in...
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Physica A: Statistical Mechanics and its Applications 1 Research Paper Series / Finance Discipline Group, Business School 1
Source
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RePEc 2
Showing 1 - 2 of 2
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The Stochastic Dynamics of Speculative Prices
Chiarella, Carl; He, Xue-Zhong; Zheng, Min - Finance Discipline Group, Business School - 2007
Words: Heterogeneous agents, speculative behaviour, random dynamical systems, stochastic bifurcations, invariant measures …
Persistent link: https://www.econbiz.de/10005041741
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Cover Image
The stochastic bifurcation behaviour of speculative financial markets
Chiarella, Carl; He, Xue-Zhong; Wang, Duo; Zheng, Min - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3837-3846
This paper establishes a continuous-time stochastic asset pricing model in a speculative financial market with fundamentalists and chartists by introducing a noisy fundamental price. By application of stochastic bifurcation theory, the limiting market equilibrium distribution is examined...
Persistent link: https://www.econbiz.de/10010872166
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