2003b): Speculative behavior and asset price dynamics

Abstract

This paper deals with speculative trading. Guided by empirical observations, a nonlinear deterministic asset pricing model is developed in which traders repeatedly choose between technical and fundamental analysis to determine their orders. The interaction between the trading rules produces complex dy-namics. The model endogenously replicates the stylized facts of excess volatil-ity, high trading volumes, shifts in the level of asset prices, and volatility clustering. KEY WORDS: financial markets; nonlinear dynamics and chaos; technical and fundamental analysis

Similar works

This paper was published in CiteSeerX.

Having an issue?

Is data on this page outdated, violates copyrights or anything else? Report the problem now and we will take corresponding actions after reviewing your request.