The Dynamics of Speculative Behaviour
AbstractA number of recent emirical studies cast some doubt on the random walk theory of asset prices and suggest these display significant transitory components and complex chaotic motion. This paper analyses a model of fundamentalists and chartists which can generate a number of dynamic regimes which are compatible with the recent empirical evidence.
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Bibliographic InfoPaper provided by Finance Discipline Group, UTS Business School, University of Technology, Sydney in its series Working Paper Series with number 13.
Length: 29 pages
Date of creation: 01 Jan 1992
Date of revision:
Publication status: Published as: Chiarella, C. 1992, "The Dynamics of Speculative Behaviour", Annals of Operations Research, 37(1), pp. 101-123.
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Postal: PO Box 123, Broadway, NSW 2007, Australia
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Web page: http://www.uts.edu.au/about/uts-business-school/finance
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