The Dynamics of Speculative Behaviour
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.
|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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