Causes of fragile stock market stability
We develop a behavioral stock market model in which a market maker adjusts stock prices
with respect to the orders of chartists, fundamentalists and sentiment traders. We analytically …
with respect to the orders of chartists, fundamentalists and sentiment traders. We analytically …
Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions
Based on a behavioral exchange rate model, we show that a central bank that conducts
competitive interventions to promote its economy may devalue its currency, albeit at the …
competitive interventions to promote its economy may devalue its currency, albeit at the …
[HTML][HTML] A 2D piecewise-linear discontinuous map arising in stock market modeling: Two overlapping period-adding bifurcation structures
We consider a 2D piecewise-linear discontinuous map defined on three partitions that drives
the dynamics of a stock market model. This model is a modification of our previous model …
the dynamics of a stock market model. This model is a modification of our previous model …
Perception of fundamental values and financial market dynamics: mathematical insights from a 2D piecewise linear map
We develop a simple financial market model in which a market maker adjusts the price with
respect to orders placed by chartists and fundamentalists. A novel feature of our model is …
respect to orders placed by chartists and fundamentalists. A novel feature of our model is …
On boom-bust stock market dynamics, animal spirits, and the destabilizing nature of temporarily attracting virtual fixed points
We propose a stock market model with chartists, fundamentalists and market makers.
Chartists chase stock price trends, fundamentalists bet on mean reversion, and market …
Chartists chase stock price trends, fundamentalists bet on mean reversion, and market …
Bifurcation structures of a two-dimensional piecewise linear discontinuous map: analysis of a cobweb model with regime-switching expectations
We consider the bifurcations occurring in a two-dimensional piecewise-linear discontinuous
map that describes the dynamics of a cobweb model in which firms rely on a regime …
map that describes the dynamics of a cobweb model in which firms rely on a regime …
Regular and chaotic dynamics in a 2D discontinuous financial market model with heterogeneous traders
I Sushko, F Tramontana - Mathematics and Computers in Simulation, 2024 - Elsevier
We develop a financial market model where three types of traders operate simultaneously:
fundamentalists and chartists of two types, namely, trend followers and contrarians. The …
fundamentalists and chartists of two types, namely, trend followers and contrarians. The …
To keep faith with homoskedasticity or to go back to heteroskedasticity? The case of FATANG stocks
JD Curto - Nonlinear Dynamics, 2021 - Springer
Did the pattern of US stock market volatility change due to COVID-19 or have the US stock
markets been less volatile despite the pandemic shock? And as for tech stocks, are they …
markets been less volatile despite the pandemic shock? And as for tech stocks, are they …
On the limits of informationally efficient stock markets: New insights from a chartist-fundamentalist model
We utilize a chartist-fundamentalist model to examine the limits of informationally efficient
stock markets. In our model, chartists are permanently active in the stock market, while …
stock markets. In our model, chartists are permanently active in the stock market, while …
Bifurcation, chaos and multi-stability regions in an asset pricing model with three subsystems
EG Gu, J Ni, ZH He - Journal of Difference Equations and …, 2024 - Taylor & Francis
An asset pricing model with two types of chartists and fundamentalists and trend followers is
considered, it is driven by a two-dimensional piecewise linear discontinuous map with three …
considered, it is driven by a two-dimensional piecewise linear discontinuous map with three …