المستودع الأكاديمي جامعة المدينة

The socio-economic dynamics of speculative markets : interacting agents, chaos, and the fat tails of return distributions

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dc.creator Lux, Thomas
dc.date 1998
dc.date.accessioned 2013-10-16T06:15:08Z
dc.date.available 2013-10-16T06:15:08Z
dc.date.issued 2013-10-16
dc.identifier Journal of economic behavior & organization 0167-2681 33 1998 2 143-165
dc.identifier doi:10.1016/S0167-2681(97)00088-7
dc.identifier http://hdl.handle.net/10419/1743
dc.identifier ppn:261163582
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/1743
dc.description This paper develops a model of the social and economic interaction of speculators in a securities or foreign exchange market. Both chartist and fundamentalist strategies are pursued by traders. The formalization of chartists behavior combines elements of mimetic contagion and trend chasing leading to waves of optimism or pessimism. Furthermore, changes of strategies from chartist to fundamentalist behavior and vice versa occur because speculators compare the performance of both strategies. The dynamic system under study encompasses the time development of the distribution of attitudes among traders as well as price adjustment. Chaotic attractors are found within a broad range of parameter values. The distributions of returns derived from chaotic trajectories of the model share important characteristics of empirical data: they exhibit high peaks around the mean as well as fat tails (leptokurtosis) and become less leptokurtotic under time aggregation.
dc.language eng
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject D40
dc.subject D84
dc.subject G12
dc.subject ddc:330
dc.subject Herd behavior
dc.subject Bubbles
dc.subject Leptokurtosis
dc.subject Wertpapierspekulation
dc.subject Devisenspekulation
dc.subject Bubbles
dc.subject Chaostheorie
dc.subject Theorie
dc.title The socio-economic dynamics of speculative markets : interacting agents, chaos, and the fat tails of return distributions
dc.type doc-type:article


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