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Limb dominance changes in walking evolution explored by asymmetric correlations in gait dynamics

Echeverria, Juan C.; Rodriguez, Eduardo; Velasco, Alejandra - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 8, pp. 1625-1634

strength of long-range correlations reflect both enhanced stability and adaptability. …

Persistent link: https://www.econbiz.de/10011062815

Moving average rules as a source of market instability

Chiarella, Carl; He, Xue-Zhong; Hommes, Cars - In: Physica A: Statistical Mechanics and its Applications 370 (2006) 1, pp. 12-17

Despite the pervasiveness of the efficient markets paradigm in the academic finance literature, the use of various moving average (MA) trading rules remains popular with financial market practitioners. This paper proposes a stochastic dynamic financial market model in which demand for traded...

Persistent link: https://www.econbiz.de/10010590307

Some issues on the stability of trading based on technical analysis

Alvarez-Ramirez, Jose; Fernandez-Anaya, Guillermo; … - In: Physica A: Statistical Mechanics and its Applications 337 (2004) 3, pp. 609-624

Some stability effects of technical trading on financial/commodity markets are analyzed in this paper. Technical … equation, whose (local) stability is determined by means of root-locus techniques. It is proven that the larger the time …-delay horizon, the larger the stability margin. This means that short-run technical trading is more likely to induce market …

Persistent link: https://www.econbiz.de/10010590356

Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model

He, Xue-Zhong; Li, Kai - In: Journal of Economic Dynamics and Control 36 (2012) 7, pp. 973-987

adaptive behaviour of heterogeneous agents and market stability impact of lagged price used by chartists to form their … used by the chartists on market stability. For the stochastic model, we demonstrate that the interaction and boundedly …

Persistent link: https://www.econbiz.de/10010574003

A modified Taylor rule for dealing with demand shocks and uncertain potential macroeconomic output

Alvarez-Ramirez, Jose; Ibarra-Valdez, Carlos; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 5, pp. 1283-1300

establish the stability properties of the resulting control system. …

Persistent link: https://www.econbiz.de/10010874309

Herding, trend chasing and market volatility

Di Guilmi, Corrado; He, Xue-Zhong; Li, Kai - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 349-373

We introduce a heterogeneous agent asset pricing model in continuous-time to show that, although trend chasing, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are different. The fluctuations of the market price and return...

Persistent link: https://www.econbiz.de/10011077524

Heterogeneity, convergence, and autocorrelations

He, Xue-Zhong; Li, Youwei - In: Quantitative Finance 8 (2008) 1, pp. 59-79

This paper is a contribution to the literature on the explanatory power and calibration of heterogeneous asset pricing models. We set out a new stochastic market-fraction asset pricing model of fundamentalists and trend followers under a market maker. Our model explains key features of financial...

Persistent link: https://www.econbiz.de/10005495755