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Exchange rate bifurcation in a stochastic evolutionary finance model

  • Gregory Gagnon

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    File URL: http://hdl.handle.net/10.1007/s10203-011-0113-3
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    Article provided by Springer in its journal Decisions in Economics and Finance.

    Volume (Year): 35 (2012)
    Issue (Month): 1 (May)
    Pages: 29-58

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    Handle: RePEc:spr:decfin:v:35:y:2012:i:1:p:29-58
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    1. Ikeda, Shinsuke & Shibata, Akihisa, 1995. "Fundamentals uncertainty, bubbles, and exchange rate dynamics," Journal of International Economics, Elsevier, vol. 38(3-4), pages 199-222, May.
    2. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc.
    3. Lux, Thomas & Schornstein, Sascha, 2003. "Genetic learning as an explanation of stylized facts of foreign exchange markets," Economics Working Papers |aEconomics working paper, Christian-Albrechts-University of Kiel, Department of Economics.
    4. Rapach, David E. & Wohar, Mark E., 2002. "Testing the monetary model of exchange rate determination: new evidence from a century of data," Journal of International Economics, Elsevier, vol. 58(2), pages 359-385, December.
    5. Giorgio Valente & Lucio Sarno & Abhay Abhayankar, 2004. "Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability," Working Papers wp04-01, Warwick Business School, Finance Group.
    6. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    7. 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.
    8. Chiarella, Carl & He, Xue-Zhong & Wang, Duo & Zheng, Min, 2008. "The stochastic bifurcation behaviour of speculative financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3837-3846.
    9. Robert P. Flood & Peter M. Garber, 1982. "A model of stochastic process switching," International Finance Discussion Papers 201, Board of Governors of the Federal Reserve System (U.S.).
    10. Peng, Shige & Shi, Yufeng, 2000. "Infinite horizon forward-backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 85(1), pages 75-92, January.
    11. Miller, Marcus & Zhang, Lei, 1994. "Optimal Target Zones: How an Exchange Rate Mechanism Can Improve Upon Discretion," CEPR Discussion Papers 1031, C.E.P.R. Discussion Papers.
    12. Hu, Ying & Yong, Jiongmin, 2000. "Forward-backward stochastic differential equations with nonsmooth coefficients," Stochastic Processes and their Applications, Elsevier, vol. 87(1), pages 93-106, May.
    13. Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011. "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 148-162, January.
    14. Gagnon, Gregory, 2004. "Exchange rate fluctuations in an economy with noise traders," Journal of Macroeconomics, Elsevier, vol. 26(1), pages 45-63, March.
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