In this work, the dynamical behavior of the US stock markets is characterized on the basis of the temporal variations of the Hurst exponent estimated with detrended fluctuation analysis (DFA) over moving windows for the historical Dow Jones (1928–2007) and the S&P-500 (1950–2007) daily...

Given an excess demand function of an economy, say Z(p), a stable price adjustment mechanism (SPAM) guarantees convergence of solution path p(t,p0) to an equilibrium peq solution of Z(p)=0. Besides, all equilibrium points of Z(p) are asymptotically stable. Some SPAMs have been proposed,...

In this paper, a deterministic framework for modeling stock market dynamics is presented. The model is based on assets conservation principles and consists of a series of differential equations describing the dynamics of assets trading, and a (nonlinear) functional equation describing trade...

A simple agent-based model is used to propose an explanation of the source of long-run memory in financial markets. It is shown that the resulting model is equivalent to a neutral-type differential equation in the price dynamics, which displays a persistence property that can be related to...

Historically, symptoms of Mexican financial crises have been strongly reflected in the dynamics of the Mexican peso to the dollar exchange currency market. Specifically, in the Mexican financial crises during 1990's, the peso suffered significant depreciation processes, which has important...