A Behavioral Macroeconomic Model of Exchange Rate Fluctuations with Complex Market Expectations Formation
Author
Abstract
Suggested Citation
DOI: 10.1007/s10614-014-9437-8
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Peter Flaschel & Florian Hartmann & Chris Malikane & Christian R. Proaño, 2014. "A Behavioral Macroeconomic Model of Exchange Rate Fluctuations with Complex Market Expectations Formation," IEER Working Papers 98, Institute of Empirical Economic Research, Osnabrueck University, revised 29 Jan 2014.
References listed on IDEAS
- Chiarella,Carl & Flaschel,Peter, 2011.
"The Dynamics of Keynesian Monetary Growth,"
Cambridge Books,
Cambridge University Press, number 9780521180184, January.
- Chiarella,Carl & Flaschel,Peter, 2000. "The Dynamics of Keynesian Monetary Growth," Cambridge Books, Cambridge University Press, number 9780521643511, January.
- Chiarella, Carl & Flaschel, Peter & Wells, Graeme, 2003. "The Dynamics Of Keynesian Monetary Growth," Macroeconomic Dynamics, Cambridge University Press, vol. 7(3), pages 473-475, June.
- D. Colander & H. Follmer & A. Haas & M. Goldberg & K. Juselius & A. Kirman & T. Lux & B. Sloth, 2010.
"The Financial Crisis and the Systemic Failure of Academic Economics,"
Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 6.
- Colander, David C. & Föllmer, Hans & Haas, Armin & Goldberg, Michael & Kirman, Alan & Jusélius, Katarina & Lux, Thomas & Sloth, Brigitte, 2009. "The financial crisis and the systemic failure of academic economics," Kiel Working Papers 1489, Kiel Institute for the World Economy (IfW Kiel).
- David Colander & Hans Föllmer & Armin Haas & Michael Goldberg & Katarina Juselius & Alan Kirman & Thomas Lux & Birgitte Sloth, 2009. "The Financial Crisis and the Systemic Failure of Academic Economics," Discussion Papers 09-03, University of Copenhagen. Department of Economics.
- David Colander & Hans Föllmer & Armin Haas & Michael Goldberg & Katarina Juselius & Alan Kirman & Thomas Lux & Brigitte Sloth, 2009. "The Financial Crisis and the Systemic Failure of Academic Economics," Middlebury College Working Paper Series 0901, Middlebury College, Department of Economics.
- James Tobin, 1978.
"A Proposal for International Monetary Reform,"
Eastern Economic Journal, Eastern Economic Association, vol. 4(3-4), pages 153-159, Jul/Oct.
- James Tobin, 1978. "A Proposal for International Monetary Reform," Cowles Foundation Discussion Papers 506, Cowles Foundation for Research in Economics, Yale University.
- Cees Diks & Cars Hommes & Valentyn Panchenko & Roy Weide, 2008.
"E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics,"
Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 221-244, September.
- Diks, C.G.H. & Hommes, C.H. & Panchenko, V. & Weide, R. van der, 2006. "E&F Chaos: a user friendly software package for nonlinear economic dynamics," CeNDEF Working Papers 06-15, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- James Tobin, 1996. "A currency transactions tax, why and how," Open Economies Review, Springer, vol. 7(1), pages 493-499, March.
- Frankel, Jeffrey A & Froot, Kenneth A, 1990. "Chartists, Fundamentalists, and Trading in the Foreign Exchange Market," American Economic Review, American Economic Association, vol. 80(2), pages 181-185, May.
- Carl Chiarella & Xue-Zhong He & Min Zheng, 2013.
"Heterogeneous expectations and exchange rate dynamics,"
The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 392-419, May.
- Carl Chiarella & Xue-Zhong He & Min Zheng, 2009. "Heterogeneous Expectations and Exchange Rate Dynamics," Research Paper Series 243, Quantitative Finance Research Centre, University of Technology, Sydney.
- V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2009.
"New Keynesian Models: Not Yet Useful for Policy Analysis,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 242-266, January.
- V.V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2008. "New Keynesian Models: Not Yet Useful for Policy Analysis," NBER Working Papers 14313, National Bureau of Economic Research, Inc.
- V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2008. "New Keynesian models: not yet useful for policy analysis," Staff Report 409, Federal Reserve Bank of Minneapolis.
- V. V. Chari & Patrick J. Kehoe & Ellen R. McGrattan, 2008. "New Keynesian models: not yet useful for policy analysis," Working Papers 664, Federal Reserve Bank of Minneapolis.
- Carl Chiarella & Roberto Dieci & Laura Gardini & Lucia Sbragia, 2008. "A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 55-72, September.
- Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
- Matthieu Charpe & Peter Flaschel & Florian Hartmann & Roberto Veneziani, 2012. "Towards Keynesian DSGD (isequilibrium) Modelling: Real-Financial Market Interactions with Heterogeneous Expectations Dynamics," IMK Working Paper 93-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Tiziana Assenza & William A. Brock & Cars H. Hommes, 2017.
"Animal Spirits, Heterogeneous Expectations, And The Amplification And Duration Of Crises,"
Economic Inquiry, Western Economic Association International, vol. 55(1), pages 542-564, January.
- Assenza, T. & Brock, W.A. & Hommes, C.H., 2012. "Animal Spirits, Heterogeneous Expectations and the Amplification and Duration of Crises," CeNDEF Working Papers 12-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Hommes, Cars H., 2006.
"Heterogeneous Agent Models in Economics and Finance,"
Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186,
Elsevier.
- Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
- Charles P. Kindleberger & Robert Z. Aliber, 2005. "Manias, Panics and Crashes," Palgrave Macmillan Books, Palgrave Macmillan, edition 0, number 978-0-230-62804-5, October.
- Paul De Grauwe (ed.), 2005. "Exchange Rate Economics: Where Do We Stand?," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262042223, April.
- Menkhoff, Lukas & Rebitzky, Rafael R. & Schröder, Michael, 2009.
"Heterogeneity in exchange rate expectations: Evidence on the chartist-fundamentalist approach,"
Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 241-252, May.
- Lukas Menkhoff & Rafael R. Rebitzky & Michael Schröder, 2008. "Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach," CESifo Working Paper Series 2502, CESifo.
- Proaño, Christian R., 2011. "Exchange rate determination, macroeconomic dynamics and stability under heterogeneous behavioral FX expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 77(2), pages 177-188, February.
- Franke Reiner, 2012. "Microfounded Animal Spirits in the New Macroeconomic Consensus," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-41, October.
- Florian Hartmann & Peter Flaschel, 2013. "Financial Markets, Banking and the Design of Monetary Policy: A Stable Baseline Scenario," Economies, MDPI, vol. 2(1), pages 1-19, December.
- Charpe, Matthieu & Flaschel, Peter & Hartmann, Florian & Proaño, Christian, 2011. "Stabilizing an unstable economy: Fiscal and monetary policy, stocks, and the term structure of interest rates," Economic Modelling, Elsevier, vol. 28(5), pages 2129-2136, September.
- Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-896, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Serena Sordi & Marwil J. Dávila-Fernández, 2020.
"Investment behaviour and “bull & bear” dynamics: modelling real and stock market interactions,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(4), pages 867-897, October.
- Serena Sordi & Marwil J. Dávila-Fernández, 2019. "Investment behaviour and “bull & bear” dynamics: Modelling real and stock market interactions," Department of Economics University of Siena 800, Department of Economics, University of Siena.
- Matthieu Charpe & Carl Chiarella & Peter Flaschel & Christian R. Proaño, 2014. "Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion Dynamics," Working Papers 1401, New School for Social Research, Department of Economics.
- Filip Stanek & Jiri Kukacka, 2018.
"The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market,"
Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 865-892, April.
- Jiri Kukacka & Filip Stanek, 2015. "The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market," Working Papers IES 2015/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2015.
- Li, Xiao-Ping & Zhou, Chun-Yang & Tong, Bin, 2019. "Carry trades, agent heterogeneity and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 343-358.
- Tianhao Zhi, 2016. "Animal Spirits and Financial Instability - A Disequilibrium Macroeconomic Perspective," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 28, July-Dece.
- Domenico Delli Gatti & Tommaso Ferraresi & Filippo Gusella & Lilit Popoyan & Giorgio Ricchiuti & Andrea Roventini, 2024. "The complex interplay between exchange rate and real markets: an agent-based model exploration," LEM Papers Series 2024/24, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Flaschel, Peter & Charpe, Matthieu & Galanis, Giorgos & Proaño, Christian R. & Veneziani, Roberto, 2018.
"Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics,"
Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 237-256.
- Peter Flaschel & Matthieu Charpe & Giorgos Galanis & Christian R. Proaño & Roberto Veneziani, 2017. "Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics," IMK Working Paper 186-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Peter Flaschel & Matthieu Charpe & Giorgos Galanis & Christian R. Proano & Roberto Veneziani, 2017. "Macroeconomic and Stock Market Interactions with Endogenous Aggregate Sentiment Dynamics," Working Papers 821, Queen Mary University of London, School of Economics and Finance.
- Flaschel, Peter & Charpe, Matthieu & Galanis, Giorgos & Proaño Acosta, Christian & Veneziani, Roberto, 2017. "Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics," BERG Working Paper Series 125, Bamberg University, Bamberg Economic Research Group.
- Cifarelli, Giulio & Paladino, Giovanna, 2018.
"Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?,"
Research in International Business and Finance, Elsevier, vol. 46(C), pages 313-323.
- Giulio Cifarelli & Giovanna Paladino, 2017. "Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?," Working Papers - Economics wp2017_11.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2023. "Sentiment-driven business cycle dynamics: An elementary macroeconomic model with animal spirits," Journal of Economic Behavior & Organization, Elsevier, vol. 210(C), pages 342-359.
- Datta, Soumya & C. Saratchand, 2021. "On the Macrodynamics of COVID-19 Vaccination," Working Papers 21/352, National Institute of Public Finance and Policy.
- Tianhao Zhi, 2016. "The Theory and Models of Keynesian Disequilibrium Macroeconomics," Working Paper Series 185, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Di Guilmi, Corrado & Galanis, Giorgos & Proaño, Christian R., 2023.
"A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations,"
Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 50-67.
- Corrado Di Guilmi & Giorgos Galanis & Christian R. Proaño, 2022. "A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations," CAMA Working Papers 2022-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Corrado Di Guilmi & Giorgos Galanis & Christian Proaño, 2022. "A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations," Working Papers 106, Queen Mary, University of London, School of Business and Management, Centre for Globalisation Research.
- De Grauwe, Paul & Foresti, Pasquale, 2023.
"Interactions of fiscal and monetary policies under waves of optimism and pessimism,"
Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 466-481.
- De Grauwe, Paul & Foresti, Pasquale, 2023. "Interactions of fiscal and monetary policies under waves of optimism and pessimism," LSE Research Online Documents on Economics 119452, London School of Economics and Political Science, LSE Library.
- Xiaoping Li & Chunyang Zhou, 2024. "Tobin Tax, Carry Trade, and the Exchange Rate Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1627-1647, April.
- Rosser, J. Barkley & Rosser, Marina V., 2023. "The Bielefeld School of economics, Post Keynesian economics, and dynamic complexity," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 454-465.
- Xin Yang & Shigang Wen & Zhifeng Liu & Cai Li & Chuangxia Huang, 2019. "Dynamic Properties of Foreign Exchange Complex Network," Mathematics, MDPI, vol. 7(9), pages 1-19, September.
- Florian Hartmann & Peter Flaschel, 2013. "Financial Markets, Banking and the Design of Monetary Policy: A Stable Baseline Scenario," Economies, MDPI, vol. 2(1), pages 1-19, December.
- Tianhao Zhi, 2016. "Animal Spirits and Financial Instability - A Disequilibrium Macroeconomic Perspective," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2016, January-A.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Florian Hartmann & Matthieu Charpe & Peter Flaschel & Roberto Veneziani, 2016. "A Basic Model of Real-Financial Market Interactions with Heterogeneous Opinion Dynamics," IEER Working Papers 104, Institute of Empirical Economic Research, Osnabrueck University, revised 26 May 2016.
- Matthieu Charpe & Peter Flaschel & Florian Hartmann & Roberto Veneziani, 2012. "Towards Keynesian DSGD (isequilibrium) Modelling: Real-Financial Market Interactions with Heterogeneous Expectations Dynamics," IMK Working Paper 93-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Tianhao Zhi, 2016. "Animal Spirits and Financial Instability - A Disequilibrium Macroeconomic Perspective," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 28, July-Dece.
- Di Guilmi, Corrado & Galanis, Giorgos & Proaño, Christian R., 2023.
"A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations,"
Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 50-67.
- Corrado Di Guilmi & Giorgos Galanis & Christian R. Proaño, 2022. "A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations," CAMA Working Papers 2022-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Corrado Di Guilmi & Giorgos Galanis & Christian Proaño, 2022. "A Baseline Model of Behavioral Political Cycles and Macroeconomic Fluctuations," Working Papers 106, Queen Mary, University of London, School of Business and Management, Centre for Globalisation Research.
- Tianhao Zhi, 2016. "Animal Spirits and Financial Instability - A Disequilibrium Macroeconomic Perspective," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2016, January-A.
- Tianhao Zhi, 2016. "The Theory and Models of Keynesian Disequilibrium Macroeconomics," Working Paper Series 185, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Flaschel, Peter & Charpe, Matthieu & Galanis, Giorgos & Proaño, Christian R. & Veneziani, Roberto, 2018.
"Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics,"
Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 237-256.
- Peter Flaschel & Matthieu Charpe & Giorgos Galanis & Christian R. Proano & Roberto Veneziani, 2017. "Macroeconomic and Stock Market Interactions with Endogenous Aggregate Sentiment Dynamics," Working Papers 821, Queen Mary University of London, School of Economics and Finance.
- Flaschel, Peter & Charpe, Matthieu & Galanis, Giorgos & Proaño Acosta, Christian & Veneziani, Roberto, 2017. "Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics," BERG Working Paper Series 125, Bamberg University, Bamberg Economic Research Group.
- Peter Flaschel & Matthieu Charpe & Giorgos Galanis & Christian R. Proaño & Roberto Veneziani, 2017. "Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics," IMK Working Paper 186-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Matthias Lengnick & Hans-Werner Wohltmann, 2013.
"Agent-based financial markets and New Keynesian macroeconomics: a synthesis,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(1), pages 1-32, April.
- Lengnick, Matthias & Wohltmann, Hans-Werner, 2010. "Agent-based financial markets and New Keynesian macroeconomics: A synthesis," Economics Working Papers 2010-10, Christian-Albrechts-University of Kiel, Department of Economics.
- Lengnick, Matthias & Wohltmann, Hans-Werner, 2011. "Agent-based financial markets and New Keynesian macroeconomics: A synthesis," Economics Working Papers 2011-09, Christian-Albrechts-University of Kiel, Department of Economics.
- Carl Chiarella & Corrado Di Guilmi & Tianhao Zhi, 2015. "Modelling the "Animal Spirits" of Bank's Lending Behaviour," Working Paper Series 183, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Hommes, Cars, 2011.
"The heterogeneous expectations hypothesis: Some evidence from the lab,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 1-24, January.
- Hommes, C.H., 2010. "The Heterogeneous Expectations Hypothesis: Some Evidence from the Lab," CeNDEF Working Papers 10-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- He, Xue-Zhong & Li, Youwei & Zheng, Min, 2019. "Heterogeneous agent models in financial markets: A nonlinear dynamics approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 135-149.
- Chiarella Carl & Di Guilmi Corrado & Zhi Tianhao, 2020. "“Animal spirits” and bank’s lending behaviour, a disequilibrium approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-21, April.
- Zhenxi Chen, 2020. "Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach," Manchester School, University of Manchester, vol. 88(2), pages 262-281, March.
- Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2016. "A new structural stochastic volatility model of asset pricing and its stylized facts," Papers 1604.08824, arXiv.org.
- Filip Stanek & Jiri Kukacka, 2018.
"The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market,"
Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 865-892, April.
- Jiri Kukacka & Filip Stanek, 2015. "The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market," Working Papers IES 2015/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2015.
- Serena Sordi & Marwil J. Dávila-Fernández, 2020.
"Investment behaviour and “bull & bear” dynamics: modelling real and stock market interactions,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(4), pages 867-897, October.
- Serena Sordi & Marwil J. Dávila-Fernández, 2019. "Investment behaviour and “bull & bear” dynamics: Modelling real and stock market interactions," Department of Economics University of Siena 800, Department of Economics, University of Siena.
- Amilon, Henrik, 2008.
"Estimation of an adaptive stock market model with heterogeneous agents,"
Journal of Empirical Finance, Elsevier, vol. 15(2), pages 342-362, March.
- Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney.
- Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden).
- Staccioli, Jacopo & Napoletano, Mauro, 2021.
"An agent-based model of intra-day financial markets dynamics,"
Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 331-348.
- Jacopo Staccioli & Mauro Napoletano, 2018. "An agent-based model of intra day financial markets dynamics," Documents de Travail de l'OFCE 2018-34, Observatoire Francais des Conjonctures Economiques (OFCE).
- Jacopo Staccioli & Mauro Napoletano, 2018. "An agent-based model of intra-day financialmarkets dynamics," SciencePo Working papers Main hal-03471566, HAL.
- Jacopo Staccioli & Mauro Napoletano, 2018. "An agent-based model of intra-day financialmarkets dynamics," Working Papers hal-03471566, HAL.
- Jacopo Staccioli & Mauro Napoletano, 2021. "An agent-based model of intra-day financial markets dynamics," Post-Print halshs-03046657, HAL.
- Jacopo Staccioli & Mauro Napoletano, 2018. "An agent-based model of intra-day financial markets dynamics," LEM Papers Series 2018/12, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Jacopo Staccioli & Mauro Napoletano, 2021. "An agent-based model of intra-day financial markets dynamics," SciencePo Working papers Main halshs-03046657, HAL.
- Michele Tumminello & Fabrizio Lillo & Jyrki Piilo & Rosario N. Mantegna, 2011. "Identification of clusters of investors from their real trading activity in a financial market," Papers 1107.3942, arXiv.org.
- Xue-Zhong He & Youwei Li, 2017.
"The adaptiveness in stock markets: testing the stylized facts in the DAX 30,"
Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1071-1094, November.
- Xue-Zhong He & Youwei Li, 2015. "The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30," Research Paper Series 364, Quantitative Finance Research Centre, University of Technology, Sydney.
More about this item
Keywords
Nonlinear exchange rate dynamics; Opinion dynamics; Viability; Persistent and irregular fluctuations; Macroeconomic policy; E12; E24; E31; E52;All these keywords.
JEL classification:
- E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
- E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:45:y:2015:i:4:p:669-691. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.