Chow et al. (2011) apply three time-varying parameter methods to investigate the relationship between the stock markets of Shanghai and New York and find that the mutual influence between the two markets has increased since 2002. We reconsider their approaches and find that two suffer from...

In this paper we examine assets price deviation in a multi-market system with heterogeneous investors in each market. Coupled map lattices (CML) is introduced to the market maker framework. It results in market cluster sharing the same sign of deviation in the chaotic interval. Distribution...

With the development of globalization and regional market integration, regional markets with common currency emerge. We develop a heterogeneous agents model based on the frameworks of Day and Huang (1990) as well as Westerhoff and Dieci (2006). Two markets using same currency are populated by...

Though the price-volume relations are widely documented by practitioners and empirical studies, few theoretical models can reproduce these relations and provide persuasive arguments. By simply generalizing the classical market maker framework, our heterogeneous agent model not only simulates...

We propose a two-market heterogeneous agents model with coupling mechanism to study Financial crisis with contagion effect. It manages to calibrate sudden crash behavior of US and UK stock markets during "Black Monday" of 1987 besides smooth crisis and disturbing crisis categorized in...

This study explores the topic of the predictability of direct real estate prices in the short-run and the risks facing investors via a case study. Two models are estimated using heteroscedastic and autocorrelation robust ML method. Possible structural shifts of the models are examined. The one...

In this paper, we propose the use of wavelet covariance and correlation to detect spurious regression. Based on Monte Carlo simulation results and experiments with real exchange rate data, it is shown that the wavelet approach is able to detect spurious relationship in a bivariate time series...