Asset price dynamics in a “bull and bear market”
Author
Abstract
Suggested Citation
DOI: 10.1016/j.strueco.2020.08.001
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Day, Richard H. & Huang, Weihong, 1990.
"Bulls, bears and market sheep,"
Journal of Economic Behavior & Organization, Elsevier, vol. 14(3), pages 299-329, December.
- Day, R. & Huang, W., 1988. "Bulls, Bears And Market Sheep," Papers m8822, Southern California - Department of Economics.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2010.
"On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders,"
Journal of Economic Behavior & Organization, Elsevier, vol. 74(3), pages 187-205, June.
- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2010. "On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders," Working Papers 1005, University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini, revised 2010.
- Chateauneuf, Alain & Ventura, Caroline, 2010.
"The no-trade interval of Dow and Werlang: Some clarifications,"
Mathematical Social Sciences, Elsevier, vol. 59(1), pages 1-14, January.
- Alain Chateauneuf & Caroline Ventura, 2008. "The no-trade interval of Dow and Werlang : some clarifications," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00341174, HAL.
- Alain Chateauneuf & Caroline Ventura, 2010. "The no-trade interval of Dow and Werlang: Some clarifications," PSE-Ecole d'économie de Paris (Postprint) hal-00634653, HAL.
- Alain Chateauneuf & Caroline Ventura, 2009. "The no-trade interval of Dow and Werlang : some clarifications," Post-Print halshs-00442861, HAL.
- Alain Chateauneuf & Caroline Ventura, 2009. "The no-trade interval of Dow and Werlang : some clarifications," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00442861, HAL.
- Alain Chateauneuf & Caroline Ventura, 2010. "The no-trade interval of Dow and Werlang: Some clarifications," Post-Print hal-00634653, HAL.
- Alain Chateauneuf & Caroline Ventura, 2008. "The no-trade interval of Dow and Werlang : some clarifications," Post-Print halshs-00341174, HAL.
- Alain Chateauneuf & Caroline Ventura, 2009. "The no-trade interval of Dow and Werlang: some clarifications," Documents de travail du Centre d'Economie de la Sorbonne 09083, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Alain Chateauneuf & Caroline Ventura, 2010. "The no-trade interval of Dow and Werlang: Some clarifications," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00634653, HAL.
- Alain Chateauneuf & Caroline Ventura, 2008. "The no-trade interval of Dow and Werlang: some clarifications," Documents de travail du Centre d'Economie de la Sorbonne b08065, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Huang, Weihong & Zheng, Huanhuan & Chia, Wai-Mun, 2010. "Financial crises and interacting heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1105-1122, June.
- Bohm, Volker & Wenzelburger, Jan, 2005.
"On the performance of efficient portfolios,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 721-740, April.
- Jan Wenzelburger & Volker Boehm, 2004. "On the performance of efficient portfolios," Computing in Economics and Finance 2004 197, Society for Computational Economics.
- Fabio Tramontana & Laura Gardini & Roberto Dieci & Frank Westerhoff, 2009. "The Emergence of Bull and Bear Dynamics in a Nonlinear Model of Interacting Markets," Discrete Dynamics in Nature and Society, Hindawi, vol. 2009, pages 1-30, July.
- Fabio Tramontana & Laura Gardini & Frank Westerhoff, 2011. "Heterogeneous Speculators and Asset Price Dynamics: Further Results from a One-Dimensional Discontinuous Piecewise-Linear Map," Computational Economics, Springer;Society for Computational Economics, vol. 38(3), pages 329-347, October.
- Hommes, Cars & Huang, Hai & Wang, Duo, 2005. "A robust rational route to randomness in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 29(6), pages 1043-1072, June.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2015.
"A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 108(C), pages 16-40.
- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2011. "A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities," Quaderni di Dipartimento 150, University of Pavia, Department of Economics and Quantitative Methods.
- William A. Brock & Cars H. Hommes, 1997.
"A Rational Route to Randomness,"
Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
- Brock, W.A. & Hommes, C.H., 1995. "Rational Routes to Randomness," Working papers 9506, Wisconsin Madison - Social Systems.
- Brock, W.A., 1995. "A Rational Route to Randomness," Working papers 9530, Wisconsin Madison - Social Systems.
- William A. Brock & Cars H. Hommes, 1995. "Rational Routes to Randomness," Working Papers 95-03-029, Santa Fe Institute.
- Brock, W.A. & Hommes, C.H., 1996. "A Rational Route to Randomness," Working papers 9530r, Wisconsin Madison - Social Systems.
- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2014. "One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(1), pages 27-51, April.
- Brock, William A. & Hommes, Cars H., 1998.
"Heterogeneous beliefs and routes to chaos in a simple asset pricing model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
- Brock, W.A. & Hommes, C.H., 1996. "Hetergeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model," Working papers 9621, Wisconsin Madison - Social Systems.
- William A. Brock & Cars H. Hommes, 2001.
"A Rational Route to Randomness,"
Chapters, in: W. D. Dechert (ed.), Growth Theory, Nonlinear Dynamics and Economic Modelling, chapter 16, pages 402-438,
Edward Elgar Publishing.
- William A. Brock & Cars H. Hommes, 1997. "A Rational Route to Randomness," Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
- Brock, W.A. & Hommes, C.H., 1995. "Rational Routes to Randomness," Working papers 9506, Wisconsin Madison - Social Systems.
- William A. Brock & Cars H. Hommes, 1995. "Rational Routes to Randomness," Working Papers 95-03-029, Santa Fe Institute.
- Brock, W.A. & Hommes, C.H., 1996. "A Rational Route to Randomness," Working papers 9530r, Wisconsin Madison - Social Systems.
- Dow, James & Werlang, Sergio Ribeiro da Costa, 1992. "Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio," Econometrica, Econometric Society, vol. 60(1), pages 197-204, January.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013.
"The bull and bear market model of Huang and Day: Some extensions and new results,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2351-2370.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2012. "The bull and bear market model of Huang and Day : Some extensions and new results," BERG Working Paper Series 89, Bamberg University, Bamberg Economic Research Group.
- Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
- Sushko, Iryna & Tramontana, Fabio & Westerhoff, Frank & Avrutin, Viktor, 2015. "Symmetry breaking in a bull and bear financial market model," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 57-72.
- Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-896, July.
- Carl Chiarella & Roberto Dieci & Laura Gardini, 2005. "The Dynamic Interaction of Speculation and Diversification," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(1), pages 17-52.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2023. "A 2D piecewise-linear discontinuous map arising in stock market modeling: Two overlapping period-adding bifurcation structures," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
- Jochen Jungeilges & Elena Maklakova & Tatyana Perevalova, 2022. "Stochastic sensitivity of bull and bear states," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 165-190, January.
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental and pessimistic traders: a piecewise-linear maps approach," Department of Economics 0186, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Jochen Jungeilges & Elena Maklakova & Tatyana Perevalova, 2022. "Stochastic sensitivity of bull and bear states," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 165-190, January.
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental and pessimistic traders: a piecewise-linear maps approach," Department of Economics 0186, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013.
"The bull and bear market model of Huang and Day: Some extensions and new results,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2351-2370.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2012. "The bull and bear market model of Huang and Day : Some extensions and new results," BERG Working Paper Series 89, Bamberg University, Bamberg Economic Research Group.
- Giovanni Campisi & Silvia Muzzioli & Fabio Tramontana, 2021. "Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 707-726, December.
- Sushko, Iryna & Tramontana, Fabio & Westerhoff, Frank & Avrutin, Viktor, 2015. "Symmetry breaking in a bull and bear financial market model," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 57-72.
- Dieci, Roberto & Westerhoff, Frank, 2010. "Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 743-764, April.
- En-Guo Gu, 2020. "On the Price Dynamics of a Two-Dimensional Financial Market Model with Entry Levels," Complexity, Hindawi, vol. 2020, pages 1-23, August.
- Hommes, Cars H., 2006.
"Heterogeneous Agent Models in Economics and Finance,"
Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186,
Elsevier.
- Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
- He, Xue-Zhong & Li, Kai, 2012.
"Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 973-987.
- Xue-Zhong He & Kai Li, 2011. "Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model," Research Paper Series 291, Quantitative Finance Research Centre, University of Technology, Sydney.
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2015.
"A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 108(C), pages 16-40.
- Fabio Tramontana & Frank Westerhoff & Laura Gardini, 2011. "A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities," Quaderni di Dipartimento 150, University of Pavia, Department of Economics and Quantitative Methods.
- Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015, January-A.
- Roberto Dieci & Frank Westerhoff, 2012.
"A simple model of a speculative housing market,"
Journal of Evolutionary Economics, Springer, vol. 22(2), pages 303-329, April.
- Dieci, Roberto & Westerhoff, Frank, 2009. "A simple model of a speculative housing market," BERG Working Paper Series 62, Bamberg University, Bamberg Economic Research Group.
- Hommes, C.H., 2005. "Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd , Elsevier, Amsterdam 2006," CeNDEF Working Papers 05-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2014, January-A.
- Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 13, July-Dece.
- Gardini, L. & Radi, D. & Schmitt, N. & Sushko, I. & Westerhoff, F., 2022. "Causes of fragile stock market stability," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 483-498.
- Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
- Westerhoff, Frank H. & Dieci, Roberto, 2006.
"The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
- Frank Westerhoff, 2004. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Computing in Economics and Finance 2004 14, Society for Computational Economics.
More about this item
Keywords
Behavioral asymmetries; Non-smooth maps; Bifurcation analysis;All these keywords.
Statistics
Access and download statisticsCorrections
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:eee:streco:v:56:y:2021:i:c:p:117-128. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/525148 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.