A 'bull and bear' model of interacting financial markets. Part II: dynamics in three dimensions
AbstractIn the fi rst part of our paper we proposed a three-dimensional nonlinear dynamic model of interacting stock and foreign exchange markets, jointly driven by the speculative activity of heterogeneous investors. We focused, in particular, on the typical 'bull and bear' scenario that emerges from simpli ed one- and two-dimensional settings. The goal of this part of the paper is to provide a global analysis of the dynamics of the full model. As it turns out, the results we obtained in the fi rst part may serve as a road map to develop an initial understanding of the much more complicated three-dimensional model.
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Bibliographic InfoPaper provided by University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini in its series Working Papers with number 0808.
Length: 27 pages
Date of creation: 2008
Date of revision: 2008
Heterogeneous speculators; bull and bear markets; nonlinear dynamics; homoclinic bifurcations.;
Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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