Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a simple heterogeneous agent model of fundamentalists and...

Generalized with the regime-dependent beliefs and regime-switching dynamics, the simple market-maker framework established by Day and Huang (1990) is capable to model all types of crises, that is, sudden crisis, disturbing crisis and smooth crisis, and to offer economic and dynamic...

By applying the deterministic heterogenous agent model developed by Huang et al. [Financial crises and interacting heterogeneous agents. <italic>Journal of Economic Dynamics and Control</italic> 34, no. 6: 1105--22], this paper examines the phenomena of asymmetric returns, gradual bubbles and sudden crashes. It...

In this paper we examine various types of financial crises and conjecture their underlying mechanisms using a deterministic heterogeneous agent model (HAM). In a market-maker framework, forward-looking investors update their price expectations according to psychological trading windows and...