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Heterogeneous speculators and stock market dynamics: A simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020

) trading signals, stock prices are excessively volatile and oscillate erratically around their fundamental value. However … movements when stock prices fluctuate strongly. Simulations furthermore suggest that circuit breakers may be an effective tool …

Persistent link: https://www.econbiz.de/10012261253

Interactions between stock, bond and housing markets

Dieci, Roberto; Schmitt, Noemi; Westerhoff, Frank H. - 2018

We develop a model in which investors can participate in stock, bond and housing markets. Investors' market entry decisions are subject to herding effects and depend on the markets' price trends and on their mispricings. The dynamics of our model is governed by a four-dimensional nonlinear map...

Persistent link: https://www.econbiz.de/10011779505

Speculative behavior and the dynamics of interacting stock markets

Schmitt, Noemi; Westerhoff, Frank H. - 2013

and crashes, fat-tailed return distributions, volatility clustering, persistent trading volume, coevolving stock prices …

Persistent link: https://www.econbiz.de/10010204792

Speculative behavior and the dynamics of interacting stock markets

Schmitt, Noemi; Westerhoff, Frank H. - In: Journal of economic dynamics & control 45 (2014), pp. 262-288

Persistent link: https://www.econbiz.de/10010474426

Heterogeneous speculators and stock market dynamics : a simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020

Persistent link: https://www.econbiz.de/10012257370

Market entry waves and volatility outbursts in stock markets

Blaurock, Ivonne; Schmitt, Noemi; Westerhoff, Frank H. - 2017

We develop a simple agent-based financial market model in which speculators' market entry decisions are subject to herding behavior and market risk. Moreover, speculators' orders depend on price trends, market misalignments and fundamental news. Using a mix of analytical and numerical tools, we...