QQ客服 官方微博 反馈留言

	The stochastic bifurcation behaviour of speculative financial markets
	Chiarella, Carl ; He, Xue-Zhong ; Wang, Duo ; Zheng, Min
	2008
英文摘要	This paper establishes a continuous-time stochastic asset pricing model in a speculative financial market with fundamentalists and chartists by introducing a noisy fundamental price. By application of stochastic bifurcation theory, the limiting market equilibrium distribution is examined numerically. It is shown that speculative behaviour of chartists can cause the market price to display different forms of equilibrium distributions. In particular, when chartists are less active, there is a unique equilibrium distribution which is stable. However, when the chartists become more active, a new equilibrium distribution will be generated and become stable. The corresponding stationary density will change from a single peak to a crater-like density. The change of stationary distribution is characterized by a bimodal logarithm price distribution and fat tails. The paper demonstrates that stochastic bifurcation theory is a useful tool in providing insight into various types of financial market behaviour in a stochastic environment. ? 2008 Elsevier Ltd. All rights reserved.; EI; 15; 3837-3846; 387
语种	英语
出处	EI
出版者	Physica A: Statistical Mechanics and its Applications
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/460995]
专题	数学科学学院
推荐引用方式 GB/T 7714	Chiarella, Carl,He, Xue-Zhong,Wang, Duo,et al. The stochastic bifurcation behaviour of speculative financial markets. 2008-01-01.

个性服务

查看访问统计

相关权益政策

暂无数据

收藏/分享

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。