Contagion effects in a chartist–fundamentalist model with time delays

LAUR Repository

Show simple item record

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

Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record

Search LAUR

Advanced Search


My Account