A Stochastic Chartist–Fundamentalist Model with Time Delays

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dc.contributor.author Dibeh, Ghassan en_US
dc.contributor.author Harmanani, Haidar M. en_US
dc.date.accessioned 2016-04-11T12:22:50Z en_US
dc.date.available 2016-04-11T12:22:50Z en_US
dc.date.copyright 2012 en_US
dc.date.issued 2016-04-11
dc.identifier.issn 0927-7099 en_US
dc.identifier.uri http://hdl.handle.net/10725/3527 en_US
dc.description.abstract A stochastic chartist–fundamentalist model of speculative asset dynamics in financial markets is developed. The model is represented by a stochastic delay-differential equation (SDDE). The SDDE is then solved using approximation and numerical Monte Carlo methods. The results show that for large time delays, the SDDE generates market-like stock price dynamics that reflect the memory effects of the time delay. The resultant dynamics agree with the empirical observation of the tendency of stock markets to deviate from pure random walk. en_US
dc.language.iso en en_US
dc.title A Stochastic Chartist–Fundamentalist Model with Time Delays en_US
dc.type Article en_US
dc.description.version Published en_US
dc.author.school SOB en_US
dc.author.school SAS en_US
dc.author.idnumber 199490170 en_US
dc.author.idnumber 199490150 en_US
dc.author.woa N/A en_US
dc.author.department Computer Science and Mathematics en_US
dc.description.embargo N/A en_US
dc.relation.journal Computational Economics en_US
dc.journal.volume 40 en_US
dc.journal.issue 2 en_US
dc.article.pages 105-113 en_US
dc.keywords Speculative models en_US
dc.keywords Stochastic models en_US
dc.keywords Delay-differential equations en_US
dc.identifier.doi http://dx.doi.org/10.1007/s10614-012-9329-8 en_US
dc.identifier.ctation Dibeh, G., & Harmanani, H. M. (2012). A Stochastic Chartist–Fundamentalist Model with Time Delays. Computational Economics, 40(2), 105-113. en_US
dc.author.email gdibeh@lau.edu.lb en_US
dc.author.email haidar@lau.edu.lb en_US
dc.identifier.url http://link.springer.com/article/10.1007/s10614-012-9329-8 en_US

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