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Asset price and wealth dynamics with heterogeneous expectations : a deterministic nonlinear structural model approach

Florian Heitger - 2010

Based on a classical financial market model different model variants known from the literature are discussed and analyzed, each focussing on modeling financial markets as a nonlinear dynamic system by introducing the formation of (heterogeneous) beliefs about future asset prices into the model...

Persistent link: https://www.econbiz.de/10009428980

Complex Dynamics in a Bertrand Duopoly Game with Heterogeneous Players

Dubiel-Teleszyński, Tomasz - In: Central European Journal of Economic Modelling and … 2 (2010) 2, pp. 95-116

stability of the Nash equilibrium is demonstrated in the plane of the speeds of adjustment. Period doubling route to chaos is …

Persistent link: https://www.econbiz.de/10009395414

Complexity of agricultural commodity cycle: a chaotic time series analysis

Sakai, Kenshi; Managi, Shunsuke; Demura, Katsuhiko - In: International Journal of Agricultural Resources, … 3 (2004) 3/4, pp. 266-287

Most empirical investigations of agricultural markets have been conducted using linear models. Therefore, nonlinear dynamic patterns of the market cannot be predicted based on these models under any circumstances. Consequently, little is known about the role of nonlinear dynamics and the whether...

Persistent link: https://www.econbiz.de/10010816449

What drives the German hog price cyle? Diagnostic modelling of a nonlinear dynamic system

Berg, Ernst; Huffaker, Ray - European Association of Agricultural Economists - EAAE - 2014

We investigated causal factors driving German hog-price dynamics with an innovative ‘diagnostic’ modeling approach. Hog-price cycles are conventionally attributed to randomly-generated behavior best modeled stochastically—most recently as randomly-shifting sinusoidal oscillations....

Persistent link: https://www.econbiz.de/10011125182

Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management

Borusyak, K. - In: Journal of the New Economic Association (2011) 11, pp. 85-105

. Estimation of Lyapunov exponents for a number of Russian stock prices and indices suggests the absense of low-dimensional chaos …

Persistent link: https://www.econbiz.de/10010617736

The Good, the bad, and the ugly: an inquiry into the causes and nature of credit cycles

Matsuyama, Kiminori - 2004

This paper builds models of nonlinear dynamics in the aggregate investment and borrower net worth and uses them to study the causes and nature of endogenous credit cycles. The basic model has two types of projects: the Good and the Bad. The Bad is highly productive, but, unlike the Good, it...

Persistent link: https://www.econbiz.de/10010266314

Determinism in Financial Time Series

Small, Michael; Tse, Chi - In: Studies in Nonlinear Dynamics & Econometrics 7 (2007) 3, pp. 1134-1134

address two specific questions: "Masked by stochasticity, do financial data exhibit deterministic nonlinearity?", and "If so … fixings, and the USD-JPY exchange rate. For each data set we apply surrogate data methods and nonlinearity tests to quantify … linear noise or conditional heteroskedastic models and that there therefore exists detectable deterministic nonlinearity that …

Persistent link: https://www.econbiz.de/10004966269

Visualization of Chaos for Finance Majors

Los, Cornelis A. - School of Economics, University of Adelaide - 2000

EÂ¤orts to simulate turbulence in the financial markets include experiments with the dynamic logistic parabola. Visual investigation of the logistic process show the various stability regimes for a range of the real growth parameter. Visualizations for the initial 20 observations provide clear...

Persistent link: https://www.econbiz.de/10008462862

The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series

Whang, Yoon-Jae; Linton, Oliver - Cowles Foundation for Research in Economics, Yale University - 1997

This paper derives the asymptotic distribution of a smoothing-based estimator of the Lyapunov exponent for a stochastic time series under two general scenarios. In the first case, we are able to establish root-T consistency and asymptotic normality, while in the second case, which is more...

Persistent link: https://www.econbiz.de/10005593525

Determinism in Financial Time Series

Small, Michael; Tse, Chi - In: Studies in Nonlinear Dynamics & Econometrics 7 (2003) 3, pp. 1134-1134

Persistent link: https://www.econbiz.de/10005246284