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: | Chiarella Carl |
Keywords: | investment |
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.