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Contagion effects in a chartist–fundamentalist model with time delays

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dc.contributor.author Dibeh, Ghassan
dc.date.accessioned 2016-05-17T10:45:04Z
dc.date.available 2016-05-17T10:45:04Z
dc.date.copyright 2007 en_US
dc.identifier.issn 0378-4371 en_US
dc.identifier.uri http://hdl.handle.net/10725/3825
dc.description.abstract In this paper two models of speculative markets are developed to study the effects of feedback mechanisms in financial markets. In the first model, a crash market model couples a linear chartist–fundamentalist model with time delays with a log-periodic market index I(t) through direct coupling. Numerical solutions to the model show that asset prices exhibit significant persistence as a result of the coupling to the log-periodic market index. An extension to include endogenous wealth dynamics shows that the chartists benefit from the persistent dynamics induced by the coupling. The second model is a two-asset model represented by a 2-dimensional delay-differential equation. Asset one price exhibits limit cycle dynamics while in the second market asset prices follow stable damped oscillations. The markets are coupled through a diffusive coupling term. Solutions to the coupled model show that the dynamics of asset two changes fundamentally with the price now exhibiting a limit cycle. The stable converging dynamics is replaced with limit cycle oscillations around the fundamental. en_US
dc.language.iso en en_US
dc.title Contagion effects in a 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.idnumber 199490150 en_US
dc.author.department Department of Economics (ECON) en_US
dc.description.embargo N/A en_US
dc.relation.journal Physica A: Statistical Mechanics and its Applications en_US
dc.journal.volume 382 en_US
dc.journal.issue 1 en_US
dc.article.pages 52-57 en_US
dc.keywords Delay-differential equation en_US
dc.keywords Financial crises en_US
dc.keywords Speculative markets en_US
dc.identifier.doi http://dx.doi.org/10.1016/j.physa.2007.02.007 en_US
dc.identifier.ctation Dibeh, G. (2007). Contagion effects in a chartist–fundamentalist model with time delays. Physica A: Statistical Mechanics and its Applications, 382(1), 52-57. en_US
dc.author.email gdibeh@lau.edu.lb en_US
dc.identifier.tou http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php en_US
dc.identifier.url http://www.sciencedirect.com/science/article/pii/S0378437107001355 en_US


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