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Evolutionary model on market ecology of investors and investments

Gao, Ya-Chun; Cai, Shi-Min; Lü, Linyuan; Wang, Bing-Hong - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 16, pp. 3385-3391

The interactions between investors and investments are of significant importance to understand the dynamics of financial markets. An evolutionary model is proposed to investigate the dynamic behaviors of investors and investments in a market ecology. The investors are divided into two groups,...

Persistent link: https://www.econbiz.de/10011060899

Trend followers, contrarians and fundamentalists : explaining the dynamics of financial markets

Schmitt, Noemi; Westerhoff, Frank H. - 2019

We propose an empirically motivated financial market model in which speculators rely on trend-following, contrarian and fundamental trading rules to determine their orders. Speculators' probabilistic rule-selection behavior - the only type of randomness in our model - depends on past and future...

Persistent link: https://www.econbiz.de/10012014573

Micro-foundation using percolation theory of the finite-time singular behavior of the crash hazard rate in a class of rational expectation bubbles

Seyrich, Maximilian; Sornette, Didier - 2016

crash hazard rate in the Johansen-Ledoit-Sornette model of rational expectation bubbles. The model is based on a percolation … crash. This provides a formula to estimate the crash hazard rate by summation over percolation clusters above a minimum size … of a power $s^a$ (with $a>1$) of the cluster sizes $s$, similarly to a generalized percolation susceptibility.The power …

Persistent link: https://www.econbiz.de/10011514360