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  • Search: subject:"stability and bifurcation analysis"
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Year of publication
Subject
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stability and bifurcation analysis 17 Stability and bifurcation analysis 10 Theorie 10 Theory 10 Nonlinear dynamics 7 bounded rationality and learning 7 Asset price dynamics 6 Begrenzte Rationalität 6 Bounded rationality 6 nonlinear dynamics 6 Börsenkurs 5 Exchange rate 5 Foreign exchange markets 5 Learning process 5 Lernprozess 5 Share price 5 Wechselkurs 5 chartists and fundamentalists 5 CAPM 4 Chaos theory 4 Chaostheorie 4 Cobweb models 4 Duopoly model 4 Nichtlineare Dynamik 4 Stability of equilibrium 4 Stabilität eines Gleichgewichts 4 nonlinear maps 4 Agent-based modeling 3 Chartists and fundamentalists 3 Erwartungsbildung 3 Exchange rate dynamics 3 Expectation formation 3 Financial market 3 Finanzmarkt 3 Volatility 3 Volatilität 3 fake news 3 Agentenbasierte Modellierung 2 Ankündigungseffekt 2 Announcement effect 2
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Online availability
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Free 24 Undetermined 3 CC license 1
Type of publication
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Book / Working Paper 16 Article 11
Type of publication (narrower categories)
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Working Paper 16 Arbeitspapier 8 Graue Literatur 8 Non-commercial literature 8 Article in journal 6 Aufsatz in Zeitschrift 6 Article 5
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Language
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English 27
Author
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Westerhoff, Frank H. 21 Mignot, Sarah 20 Schmitt, Noemi 9 Tramontana, Fabio 8 Dieci, Roberto 7 Westerhoff, Frank 6 Pellizzari, Paolo 3 Gardini, Laura 2 Radi, Davide 2 Sushko, Iryna 2
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Published in...
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BERG Working Paper Series 8 BERG working paper series 8 Annals of Operations Research 2 Computational Economics 1 Decisions in Economics and Finance 1 Decisions in economics and finance : DEF ; a journal of applied mathematics 1 Decisions in economics and finance : a journal of applied mathematics 1 Jahrbücher für Nationalökonomie und Statistik 1 Journal of economic behavior & organization : JEBO 1 Journal of economic dynamics & control 1 Open Economies Review 1 Open economies review 1
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Source
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ECONIS (ZBW) 14 EconStor 13
Showing 1 - 10 of 27
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Fake news and asset price dynamics
Mignot, Sarah; Pellizzari, Paolo; Westerhoff, Frank H. - 2024
We explore the impact of fake news on asset price dynamics within the asset-pricing model of Brock and Hommes (1998). By polluting the information landscape, fake news interferes with agents' perception of the dividend process of the risky asset. Our analysis reveals that fake news decreases the...
Persistent link: https://www.econbiz.de/10014633267
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Explaining the Stylized Facts of Foreign Exchange Markets with a Simple Agent-based Version of Paul de Grauwe’s Chaotic Exchange Rate Model
Mignot, Sarah; Westerhoff, Frank - In: Computational Economics 65 (2024) 2, pp. 845-876
volatility, fat-tailed return distributions, serially uncorrelated returns and volatility clustering. A stability and bifurcation … analysis of its deterministic skeleton provides us with useful insights that foster our understanding of exchange rate dynamics. …
Persistent link: https://www.econbiz.de/10015437035
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Cover Image
Fake news and asset price dynamics
Mignot, Sarah; Pellizzari, Paolo; Westerhoff, Frank H. - 2024
We explore the impact of fake news on asset price dynamics within the asset-pricing model of Brock and Hommes (1998). By polluting the information landscape, fake news interferes with agents' perception of the dividend process of the risky asset. Our analysis reveals that fake news decreases the...
Persistent link: https://www.econbiz.de/10014631654
Saved in:
Cover Image
Fake news and asset price dynamics
Mignot, Sarah; Pellizzari, Paolo; Westerhoff, Frank H. - In: Jahrbücher für Nationalökonomie und Statistik 244 (2024) 4, pp. 351-379
We explore the impact of fake news on asset price dynamics within the asset-pricing model of Brock and Hommes (Brock, W. A., and C. H. Hommes. 1998. "Heterogeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model." Journal of Economic Dynamics and Control 22 (8): 1235-74). By...
Persistent link: https://www.econbiz.de/10015326021
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Complex dynamics in a nonlinear duopoly model with heuristic expectation formation and learning behavior
Mignot, Sarah; Tramontana, Fabio; Westerhoff, Frank - In: Annals of Operations Research 337 (2023) 3, pp. 809-834
We develop a nonlinear duopoly model in which the heuristic expectation formation and learning behavior of two boundedly rational firms may engender complex dynamics. Most importantly, we assume that the firms employ different forecasting models to predict the behavior of their opponent....
Persistent link: https://www.econbiz.de/10015193598
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Cover Image
Complex dynamics in a nonlinear duopoly model with heuristic expectation formation and learning behavior
Mignot, Sarah; Tramontana, Fabio; Westerhoff, Frank H. - 2023
We develop a nonlinear duopoly model in which the heuristic expectation formation and learning behavior of two boundedly rational firms may engender complex dynamics. Most importantly, we assume that the firms employ different forecasting models to predict the behavior of their opponent....
Persistent link: https://www.econbiz.de/10014309902
Saved in:
Cover Image
Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model
Mignot, Sarah; Westerhoff, Frank H. - 2023
volatility, fat-tailed return distributions, serially uncorrelated returns and volatility clustering. A stability and bifurcation … analysis of its deterministic skeleton provides us with useful insights that foster our understanding of exchange rate dynamics. …
Persistent link: https://www.econbiz.de/10014420641
Saved in:
Cover Image
Complex dynamics in a nonlinear duopoly model with heuristic expectation formation and learning behavior
Mignot, Sarah; Tramontana, Fabio; Westerhoff, Frank - In: Annals of Operations Research 337 (2023) 3, pp. 809-834
We develop a nonlinear duopoly model in which the heuristic expectation formation and learning behavior of two boundedly rational firms may engender complex dynamics. Most importantly, we assume that the firms employ different forecasting models to predict the behavior of their opponent....
Persistent link: https://www.econbiz.de/10015402129
Saved in:
Cover Image
Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model
Mignot, Sarah; Westerhoff, Frank H. - 2023
volatility, fat-tailed return distributions, serially uncorrelated returns and volatility clustering. A stability and bifurcation … analysis of its deterministic skeleton provides us with useful insights that foster our understanding of exchange rate dynamics. …
Persistent link: https://www.econbiz.de/10014384489
Saved in:
Cover Image
Complex dynamics in a nonlinear duopoly model with heuristic expectation formation and learning behavior
Mignot, Sarah; Tramontana, Fabio; Westerhoff, Frank H. - 2023
We develop a nonlinear duopoly model in which the heuristic expectation formation and learning behavior of two boundedly rational firms may engender complex dynamics. Most importantly, we assume that the firms employ different forecasting models to predict the behavior of their opponent....
Persistent link: https://www.econbiz.de/10014305614
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