IDEAS home Printed from https://ideas.repec.org/a/srs/jmef00/v1y2015i1p4-28.html
   My bibliography  Save this article

Bounded Rational Speculative and Hedging Interaction Model in Oil and U S Dollar Markets

Author

Listed:
  • David CARFÌ
  • Michael CAMPBELL

Abstract

A bounded rational overlay is constructed for a model of an interaction between two players who speculate on oil and the U S dollar subject to nancial transaction taxes This model also has two types of operators a real economic subject Air and an investment bank Bank Many investment operators banks are also considered Their behavior equilibrates much more quickly as they react to the move of Air In this sense Air is an acting external agent such as with an external magnetic eld in a magnetic system whereas the random component of the bounded rational behavior of banks is annealed i e averaged out before Air makes its next transaction Under certain conditions for the model the equilibrium measure for the bank agents after Air has played its strategy is a Gibbs measure from statistical mechanics as the interactions between opera tors are that for a Potential game

Suggested Citation

  • David CARFÌ & Michael CAMPBELL, 2015. "Bounded Rational Speculative and Hedging Interaction Model in Oil and U S Dollar Markets," Journal of Mathematical Economics and Finance, ASERS Publishing, vol. 1(1), pages 4-28.
    • Handle: RePEc:srs:jmef00:v:1:y:2015:i:1:p:4-28
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Campbell, Michael, 2020. "Speculative and hedging interaction model in oil and U.S. dollar markets—Long-term investor dynamics and phases," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    2. Campbell, Michael J. & Smith, Vernon L., 2021. "An elementary humanomics approach to boundedly rational quadratic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
    3. Campbell, Michael J., 2022. "Heavy-tailed distributions of volume and price-change resulting from strategy coordination and decision noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    4. Carfì, David & Donato, Alessia & Schilirò, Daniele, 2018. "An environmentally sustainable global economy. A coopetitive model," MPRA Paper 86718, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:srs:jmef00:v:1:y:2015:i:1:p:4-28. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Claudiu Popirlan (email available below). General contact details of provider: http://journals.aserspublishing.eu/jmef .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.