A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities
Mathematics and Computers in Simulation, ISSN: 0378-4754, Vol: 108, Page: 16-40
2015
- 21Citations
- 35Captures
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Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
Citation Benchmarking is provided by Scopus and SciVal and is different from the metrics context provided by PlumX Metrics.
Article Description
We present a simple financial market model with interacting chartists and fundamentalists. Since some speculators only become active when a certain misalignment level has been crossed, the model dynamics is driven by a discontinuous piecewise linear map. Recent mathematical techniques allow a comprehensive study of the model's dynamical system. One of its surprising features is that model simulations may appear to be chaotic, although only regular dynamics can emerge. While our deterministic model is able to produce stylized bubbles and crashes we also show that a stochastic version of our model is able to match the finer details of financial market dynamics.
Bibliographic Details
http://www.sciencedirect.com/science/article/pii/S0378475413001869; http://dx.doi.org/10.1016/j.matcom.2013.06.002; http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=84911938150&origin=inward; https://linkinghub.elsevier.com/retrieve/pii/S0378475413001869; https://api.elsevier.com/content/article/PII:S0378475413001869?httpAccept=text/xml; https://api.elsevier.com/content/article/PII:S0378475413001869?httpAccept=text/plain; https://dx.doi.org/10.1016/j.matcom.2013.06.002
Elsevier BV
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