کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098512 | 1478700 | 2014 | 62 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Speculative behavior and the dynamics of interacting stock markets
ترجمه فارسی عنوان
رفتار پویا و پویایی تعاملات بازار سهام
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
چکیده انگلیسی
We develop a simple agent-based financial market model in which heterogeneous speculators apply technical and fundamental analysis to trade in two different stock markets. Speculators׳ strategy/market selections are repeated at each time step and depend on predisposition effects, herding behavior and market circumstances. Simulations reveal that our model is able to explain a number of nontrivial statistical properties of and between international stock markets, including bubbles and crashes, fat-tailed return distributions, volatility clustering, persistent trading volume, coevolving stock prices and cross-correlated volatilities. Against this background, our model may be deemed to have been validated.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 45, August 2014, Pages 262-288
Journal: Journal of Economic Dynamics and Control - Volume 45, August 2014, Pages 262-288
نویسندگان
Noemi Schmitt, Frank Westerhoff,