Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity
نویسندگان
چکیده
منابع مشابه
Speculative Bubbles and Crashes in Stock Markets: An Interacting-Agent Model of Speculative Activity
In this paper we present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the investment attitude of other traders. Bubbles and crashes are understood and described qualitatively and quantitatively in terms of the classical...
متن کاملSpeculative behavior and the dynamics of interacting stock markets
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 nontrivi...
متن کاملSpeculative bubbles in agricultural commodity markets
Numerous factors have been proposed in the literature as explaining the recent commodity price movements. In this paper we focus on one of the most widely discussed factors, the impact of speculative bubbles. We investigate whether commodity prices during the spike of 2007–2008 might have deviated from their intrinsic values based on market fundamentals. To do this, we use a bootstrap methodolo...
متن کاملAre there speculative bubbles in stock markets? Evidence from an alternative approach
Monte Carlo evidence [Evans (1991)] indicates that when speculative bubbles are collapsible, the traditional cointegration approach based on unit root tests has some serious drawbacks. We propose in this paper an alternative approach to test such bubbles. We demonstrate that the suggested test has some advantages over the traditional unit root based tests, especially for bubbles that are collap...
متن کاملTowards a new model of speculative bubbles: nonparametric test with an application to the Tunisian Stock Index
Bubbles in asset prices have fascinated researchers in finance. Identify asset bubbles, by circumstances, on the stock market has been a growing number of research theoretical and empirical. On a theoretical level, it was assumed that the price dynamics reflect irrational behavior of economic agents and, therefore, should be excluded from a deal with the truly rational economic agents Burmeiste...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2000
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(00)00388-5