The dynamics of speculative behaviour

The dynamics of speculative behaviour

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Article ID: iaor20083135
Country: Netherlands
Volume: 37
Issue: 1
Start Page Number: 101
End Page Number: 123
Publication Date: Dec 1992
Journal: Annals of Operations Research
Authors:
Keywords: investment
Abstract:

A number of recent empirical 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.

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