Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/95336 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Quaderni di Dipartimento No. 150
Verlag: 
Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ), Pavia
Zusammenfassung: 
We present a simple financial market model with interacting chartists and fundamentalists. Since some of these speculators only become active when a certain misalignment level has been crossed, the dynamics are driven by a discontinuous piecewise linear map. The model endogenously generates bubbles and crashes and excess volatility for a broad range of parameter values - and thus explains some key phenomena of financial markets. Moreover, we provide a complete analytical study of the model's dynamical system. One of its surprising features is that model simulations may appear to be chaotic, although only regular dynamics can emerge.
Schlagwörter: 
financial market crisis
bull and bear market dynamics
discontinuous piecewise linear maps
border-collision bifurcations
period adding scheme
Dokumentart: 
Working Paper

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