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A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities

Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura - 2011

We present a simple financial market model with interacting chartists and fundamentalists. Since some of these speculators only become active when a certain misalignment level has been crossed, the dynamics are driven by a discontinuous piecewise linear map. The model endogenously generates...

Persistent link: https://www.econbiz.de/10010335324

A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities

Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura - 2011

Persistent link: https://www.econbiz.de/10010343865

A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities

Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura - Dipartimento di Scienze Economiche e Aziendali, … - 2011

Persistent link: https://www.econbiz.de/10009651033

One-dimensional maps with two discontinuity points and three linear branches : mathematical lessons for understanding the dynamics of financial markets

Tramontana, Fabio; Westerhoff, Frank H.; Gardini, Laura - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 1, pp. 27-51

Persistent link: https://www.econbiz.de/10010340255

One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets

Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura - In: Decisions in Economics and Finance 37 (2014) 1, pp. 27-51

We develop a simple financial market model with heterogeneous interacting speculators. The dynamics of our model is driven by a one-dimensional discontinuous piecewise linear map, having two discontinuity points and three linear branches. On the one hand, we study this map analytically and...

Persistent link: https://www.econbiz.de/10010845565

The bull and bear market model of Huang and Day : Some extensions and new results

Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura - 2012

We develop a financial market model with interacting chartists and fundamentalists that embeds the famous bull and bear market model of Huang and Day as a special case. Their model is given by a one-dimensional continuous piecewise-linear map. Our model, on the other hand, is more flexible and...