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Complex Price Dynamics in a Financial Market with Imitation

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Author Info
Ilaria Foroni ()
Anna Agliari ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s10614-008-9132-8
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Publisher Info
Article provided by Springer in its journal Computational Economics.

Volume (Year): 32 (2008)
Issue (Month): 1 (September)
Pages: 21-36
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Handle: RePEc:kap:compec:v:32:y:2008:i:1:p:21-36

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Web page: http://www.springerlink.com/link.asp?id=100248

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Related research
Keywords: Noninvertible maps; Herd behavior; Global bifurcations; G12; C62; C69;

References listed on IDEAS
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  1. Day, Richard H. & Huang, Weihong, 1990. "Bulls, bears and market sheep," Journal of Economic Behavior & Organization, Elsevier, vol. 14(3), pages 299-329, December. [Downloadable!] (restricted)
    Other versions:
  2. Weidlich, Wolfgang & Braun, Martin, 1992. "The Master Equation Approach to Nonlinear Economics," Journal of Evolutionary Economics, Springer, vol. 2(3), pages 233-65, October.
  3. Lux, T. & M. Marchesi, . "Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents," Discussion Paper Serie B 437, University of Bonn, Germany, revised Jul 1998.
  4. Bischi, Gian-Italo & Gallegati, Mauro & Gardini, Laura & Leombruni, Roberto & Palestrini, Antonio, 2006. "Herd Behavior And Nonfundamental Asset Price Fluctuations In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 10(04), pages 502-528, September. [Downloadable!]
  5. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2000. "Bifurcation Routes to Volatility Clustering," CeNDEF Working Papers 00-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
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  6. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2002. "Evolutionary dynamics in markets with many trader types," CeNDEF Working Papers 02-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
    Other versions:
  7. Douglas Gale & Robert W. Rosenthal, 1996. "Experimentation, Imitation, and Stochastic Stability," Papers 0065, Boston University - Industry Studies Programme.
    Other versions:
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This page was last updated on 2009-11-12.


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