Speculative behaviour and complex asset price dynamics: a global analysis

By Carl Chiarella, Roberto Dieci, Laura Gardini. 2002

180 citations recorded by the source corpus.

Subfields: Condensed Matter Physics, Economics and Econometrics, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/c7624c282d5441cba9e14660307b9dffebda89db

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Condensed Matter Physics

In Economics and Econometrics

In Statistical and Nonlinear Physics

Citations in the corpus

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, background): “More recent refinements and applications include Chiarella and He (2001), Chiarella et al. (2002) and Westerhoff (2003).”
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents (2006, methodology): “A simple way to model this idea (similar to Chiarella et al (2002)), is to assume that at each time step the estimated variance σ2c,t ≡ V ar (c) t [ρt+1+δt+1−r] depends positively on themagnitude of the expected excess return, i.e. σ2c,t = v(xt), xt ≡ E (c) t [ρt+1+δt+1−r], with v′(x) > 0 (v′(x) <…”
A robust rational route to randomness in a simple asset pricing model (2005, unknown): “Financial market heterogeneous agent models with market makers have also been considered e.g. by Day and Huang (1994), Lux (1995), Chiarella et al. (2002) and Chiarella and He (2002).”
On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders (2010, background): “Related models featuring nonlinear technical trading rules have been elaborated by Chiarella (1992); Chiarella et al. (2002), and others.”
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).”
A simple model of a speculative housing market (2012, background): “(1993), Chiarella et al. (2002), Westerhoff and Dieci (2006) and de Grauwe and Grimaldi (2006).”
Heterogeneity, convergence, and autocorrelations (2008, background): “Apart from improving mathematical ySee, e.g., Arthur et al. (1997), Brock and Hommes (1997), Chen and Yeh (2002), Chiarella et al. (2002), Chiarella and He (2002, 2003b), Iori (2002), LeBaron (2002), LeBaron et al. (1999) and Levy et al. (1994). zApart from rf¼ 1% in Gaunersdorfer (2000) and…”