Commodity price cycles and heterogeneous speculators: a STAR–GARCH model

A behavioral cobweb-like commodity market model with heterogeneous speculators

a r t i c l e i n f o According to empirical studies, speculators place significant orders in commodity markets and may cause bubbles and crashes. This paper develops a cobweb-like commodity market model that takes into account the behavior of technical and fundamental speculators. We show that interactions between consumers, producers and heterogeneous speculators may produce price dynamics wh...

Heterogeneous Speculators and Asset Price Dynamics: Further Results from a One-Dimensional Discontinuous Piecewise-Linear Map

In this paper we continue exploring a recently introduced financial market model in which boundedly rational agents follow technical and fundamental trading rules to determine their orders. Amongst other things, our model reveals that interactions between heterogeneous speculators can generate interesting boom-bust cycles. In addition, we provide an extensive analytical treatment of the model’s...

A (S,s) Model of Commodity Price Speculation

Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates

We develop a discrete-time model in which the stock markets of two countries are linked via and with the foreign exchange market. The foreign exchange market is characterized by nonlinear interactions between technical and fundamental traders. Such interactions may generate complex dynamics and recurrent switching between “bull” and “bear” market phases via a well-known pitchfork and period-dou...

Volatility and Commodity Price Dynamics

Commodity prices tend to be volatile, and volatility itself varies over time. Changes in volatility can affect market variables by directly affecting the marginal value of storage, and by affecting a component of the total marginal cost of production: the opportunity cost of exercising the option to produce the commodity now rather than waiting for more price information. I examine the role of ...