کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10482331 | 933412 | 2005 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Speculative dynamics in a time-delay model of asset prices
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
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چکیده انگلیسی
In this paper, a time-delay model of speculative asset markets is developed to investigate the effect of time delays on the dynamics of asset prices. The basic model investigates the effect of time delays in the chartists expectations function on the deviation of asset prices from their fundamental value. A nonlinear model is then solved showing that limit cycles may exist explaining the persistence of these deviations in speculative markets. Time delays are shown to have an effect on the generation of limit cycles. The model is also extended to include endogenous wealth dynamics. Solutions to the model show that time delays affect the time evolution of the chartists and fundamentalists share of wealth.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 355, Issue 1, 1 September 2005, Pages 199-208
Journal: Physica A: Statistical Mechanics and its Applications - Volume 355, Issue 1, 1 September 2005, Pages 199-208
نویسندگان
Ghassan Dibeh,