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Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
Röthig, Andreas; Chiarella, Carl - 2006
This article explores nonlinearities in the response of speculators' trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition...
Persistent link: https://www.econbiz.de/10010266873
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Speculative behaviour and complex asset price dynamics
Chiarella, Carl; Dieci, Roberto; Gardini, Laura - 2001
Persistent link: https://www.econbiz.de/10001619312
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An adaptive model on asset pricing and wealth dynamics with heterogeneous trading strategies
Chiarella, Carl; He, Xue-zhong - 2002
Persistent link: https://www.econbiz.de/10001732770
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Speculative behaviour and complex asset price dynamics : a global analysis
Chiarella, Carl; Dieci, Roberto; Gardini, Laura - In: Journal of economic behavior & organization : JEBO 49 (2002) 2, pp. 173-197
Persistent link: https://www.econbiz.de/10001702982
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Asset price and wealth dynamics in a financial market with heterogeneous agents
Chiarella, Carl; Dieci, Roberto; Gardini, Laura - 2004
Persistent link: https://www.econbiz.de/10002431655
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Asset price dynamics with time-varying second moment
Chiarella, Carl; He, Xue-zhong; Wang, Duo - 2004
Persistent link: https://www.econbiz.de/10002554388
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Statistical properties of a heterogeneous asset price model with time-varying second moment
Chiarella, Carl; He, Xue-zhong; Wang, Duo - 2004
Persistent link: https://www.econbiz.de/10002554408
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The impact of heterogeneous trading rules on the limit order book and order flows
Chiarella, Carl; Iori, Guilia - 2005
Persistent link: https://www.econbiz.de/10002765032
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Asset price dynamcis and diversification with heterogeneous agents
Chiarella, Carl; Dieci, Roberto; Gardini, Laura - In: Nonlinear dynamics and heterogeneous interacting agents …, (pp. 251-267). 2005
Persistent link: https://www.econbiz.de/10002775676
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An asset pricing model with adaptive heterogeneous agents and wealth effects
Chiarella, Carl; He, Xue-zhong - In: Nonlinear dynamics and heterogeneous interacting agents …, (pp. 269-285). 2005
Persistent link: https://www.econbiz.de/10002775690