Speculative Behaviour and Complex Asset Price Dynamics

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Power-law behaviour, heterogeneity, and trend chasing (2007, background): “3In this regard see, Gaunersdorfer (2000), Hommes (2001, 2002), Chiarella and He (2001, 2002, 2003), Chiarella et al. (2002), De Grauwe and Grimaldi (2003) and Westerhoff (2003).”
Heterogeneous Expectations and Speculative Behavior in a Dynamic Multi-Asset Framework (2007, methodology): “We cite in particular the models that have been proposed by Day and Huang (1990), Brock and Hommes (1998), Lux (1998), Gaunersdorfer (2000), Chiarella and He (2001, 2003), Chiarella et al. (2002), and Fernandez-Rodriguez et al., (2002).”
Commodity markets, price limiters and speculative price dynamics (2005, methodology): “After inspecting 13 primary commodities over the period 1900–1987 (deflated annual data), Deaton and Laroque (1992) found price variation coefficients, defined as the standard deviation over the mean, ranging from 0.17 (bananas) to 0.60 (sugar). In addition, one often observes dramatic boom and bust”
Heterogeneity, convergence, and autocorrelations (2008, methodology): “It has been widely accepted that stability and bifurcation theory is a powerful tool in the study of asset-pricing dynamics (see, for example, Day and Huang (1990), Brock and Hommes (1997, 1998) and Chiarella and He (2002, 2003b)).”