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The Dynamics of Speculative Behaviour

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Abstract

A 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.

Suggested Citation

  • Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  • Handle: RePEc:uts:wpaper:13
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    File URL: http://www.finance.uts.edu.au/research/wpapers/wp13.pdf
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