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Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity

Citations

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Cited by:

  1. Maria Boguta & Eric Jarpe, 2010. "A new space-time model for volatility clustering in the financial market," Papers 1002.0609, arXiv.org.
  2. Kristoufek, Ladislav & Vošvrda, Miloslav S., 2016. "Herding, minority game, market clearing and efficient markets in a simple spin model framework," FinMaP-Working Papers 68, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  3. Kaizoji, Taisei & Leiss, Matthias & Saichev, Alexander & Sornette, Didier, 2015. "Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 289-310.
  4. Kaizoji, Taisei & Bornholdt, Stefan & Fujiwara, Yoshi, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 441-452.
  5. Quanbo Zha & Gang Kou & Hengjie Zhang & Haiming Liang & Xia Chen & Cong-Cong Li & Yucheng Dong, 2020. "Opinion dynamics in finance and business: a literature review and research opportunities," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-22, December.
  6. M. Kabir Hassan & Jung Suk-Yu, 2007. "Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African Stock Markets," NFI Working Papers 2007-WP-31, Indiana State University, Scott College of Business, Networks Financial Institute.
  7. Cross, Rod & Grinfeld, Michael & Lamba, Harbir & Seaman, Tim, 2005. "A threshold model of investor psychology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 354(C), pages 463-478.
  8. Chang, Sheng-Kai, 2007. "A simple asset pricing model with social interactions and heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1300-1325, April.
  9. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
  10. Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis & Katharina Oberpriller, 2022. "Liquidity based modeling of asset price bubbles via random matching," Papers 2210.13804, arXiv.org, revised Nov 2022.
  11. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.
  12. Kyrylo Shmatov & Mikhail Smirnov, 2005. "On Some Processes and Distributions in a Collective Model of Investors' Behavior," Papers nlin/0506015, arXiv.org.
  13. Sato, Aki-Hiro, 2007. "Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 258-270.
  14. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical regularities of order placement in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3173-3182.
  15. IKEDA Yuichi & YOSHIKAWA Hiroshi, 2018. "Macroprudential Modeling Based on Spin Dynamics in a Supply Chain Network," Discussion papers 18045, Research Institute of Economy, Trade and Industry (RIETI).
  16. Benjamin Patrick Evans & Mikhail Prokopenko, 2022. "Bounded strategic reasoning explains crisis emergence in multi-agent market games," Papers 2206.05568, arXiv.org.
  17. Taisei Kaizoji, 2013. "Modelling of Stock Returns and Trading Volume," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 147-155, July.
  18. Horvath, Philip A. & Roos, Kelly R. & Sinha, Amit, 2016. "An Ising spin state explanation for financial asset allocation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 112-116.
  19. Yuichi Ikeda, 2020. "An Interacting Agent Model of Economic Crisis," Papers 2001.11843, arXiv.org.
  20. Wang, Guochao & Zheng, Shenzhou & Wang, Jun, 2019. "Complex and composite entropy fluctuation behaviors of statistical physics interacting financial model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 97-113.
  21. Mitsuaki Murota & Jun-ichi Inoue, 2014. "Large-scale empirical study on pairs trading for all possible pairs of stocks listed on the first section of the Tokyo Stock Exchange," Papers 1412.7269, arXiv.org, revised Mar 2015.
  22. Zitis, Pavlos I. & Contoyiannis, Yiannis & Potirakis, Stelios M., 2022. "Critical dynamics related to a recent Bitcoin crash," International Review of Financial Analysis, Elsevier, vol. 84(C).
  23. Ditian Zhang & Yangyang Zhuang & Pan Tang & Hongjuan Peng & Qingying Han, 2023. "Financial price dynamics and phase transitions in the stock markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 96(3), pages 1-21, March.
  24. Christopher D. Clack & Elias Court & Dmitrijs Zaparanuks, 2020. "Dynamic Coupling and Market Instability," Papers 2005.13621, arXiv.org.
  25. Pigeard de Almeida Prado, Fernando & Belitsky, Vladimir & Ferreira, Alex Luiz, 2011. "Social interactions, product differentiation and discontinuity of demand," Journal of Mathematical Economics, Elsevier, vol. 47(4-5), pages 642-653.
  26. Ilaria Foroni & Anna Agliari, 2008. "Complex Price Dynamics in a Financial Market with Imitation," Computational Economics, Springer;Society for Computational Economics, vol. 32(1), pages 21-36, September.
  27. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yongjie Zhang & Wei Chen & Wei-Xing Zhou, 2021. "An empirical behavioral order-driven model with price limit rules," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-24, December.
  28. Kaizoji, Taisei (kaizoji@icu.ac.jp), 2010. "A Behavioral Model of Bubbles and Crashes," MPRA Paper 20352, University Library of Munich, Germany.
  29. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
  30. M. Ausloos & K. Ivanova & N. Vandewalle, 2001. "Crashes : symptoms, diagnoses and remedies," Papers cond-mat/0104127, arXiv.org, revised Apr 2001.
  31. Taisei Kaizoji, 2013. "Modeling of Stock Returns and Trading Volume," Papers 1309.2416, arXiv.org.
  32. Meudt, Frederik & Schmitt, Thilo A. & Schäfer, Rudi & Guhr, Thomas, 2016. "Equilibrium pricing in an order book environment: Case study for a spin model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 228-235.
  33. Gunter M. Schutz & Fernando Pigeard de Almeida Prado & Rosemary J. Harris & Vladimir Belitsky, 2007. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Papers 0801.0003, arXiv.org, revised Jun 2009.
  34. Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
  35. Stefan-Cosmin DANILA & Ioan-Bogdan ROBU, 2019. "The Influence of Cryptocurrency Bitcoin over the Romanian Capital Market," The Audit Financiar journal, Chamber of Financial Auditors of Romania, vol. 17(155), pages 507-507.
  36. Agnieszka Kuś & Agnieszka Kuś, 2023. "Photovoltaic Companies on the Warsaw Stock Exchange—Another Speculative Bubble or a Sign of the Times?," Energies, MDPI, vol. 16(2), pages 1-21, January.
  37. Torsten Trimborn & Philipp Otte & Simon Cramer & Maximilian Beikirch & Emma Pabich & Martin Frank, 2020. "SABCEMM: A Simulator for Agent-Based Computational Economic Market Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 707-744, February.
  38. Gallegati, Mauro & Palestrini, Antonio & Rosser, J. Barkley, 2011. "The Period Of Financial Distress In Speculative Markets: Interacting Heterogeneous Agents And Financial Constraints," Macroeconomic Dynamics, Cambridge University Press, vol. 15(1), pages 60-79, February.
  39. Schütz, Gunter M. & de Almeida Prado, Fernando Pigeard & Harris, Rosemary J. & Belitsky, Vladimir, 2009. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4126-4144.
  40. Junqing Tang & Hans R. Heinimann, 2019. "Quantitative evaluation of consecutive resilience cycles in stock market performance: A systems-oriented approach," Papers 1903.03201, arXiv.org.
  41. Christoph J. Borner & Ingo Hoffmann & John H. Stiebel, 2023. "On the Connection between Temperature and Volatility in Ideal Agent Systems," Papers 2303.15164, arXiv.org.
  42. Francesca Biagini & Andrea Mazzon & Thilo Meyer-Brandis, 2016. "Liquidity induced asset bubbles via flows of ELMMs," Papers 1611.01440, arXiv.org, revised Nov 2016.
  43. Frederik Meudt & Thilo A. Schmitt & Rudi Schafer & Thomas Guhr, 2015. "Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model," Papers 1502.01125, arXiv.org.
  44. Bischi, Gian-Italo & Gallegati, Mauro & Gardini, Laura & Leombruni, Roberto & Palestrini, Antonio, 2006. "Herd Behavior And Nonfundamental Asset Price Fluctuations In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 10(4), pages 502-528, September.
  45. Aytaç, Beysül & Coqueret, Guillaume & Mandou, Cyrille, 2018. "Herding behavior among wine investors," Economic Modelling, Elsevier, vol. 68(C), pages 318-328.
  46. Chang Sheng-Kai, 2014. "Herd behavior, bubbles and social interactions in financial markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 89-101, February.
  47. T. Kaizoji & M. Leiss & A. Saichev & D. Sornette, 2011. "Super-exponential endogenous bubbles in an equilibrium model of rational and noise traders," Papers 1109.4726, arXiv.org, revised Mar 2014.
  48. Shigeo Kamitsuji & Ritei Shibata, 2003. "Effectiveness of Stochastic Neural Network for Prediction of Fall or Rise of TOPIX," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 187-204, September.
  49. Taisei Kaizoji & Michiko Miyano, 2016. "Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals," Papers 1607.03205, arXiv.org.
  50. Torsten Trimborn & Philipp Otte & Simon Cramer & Max Beikirch & Emma Pabich & Martin Frank, 2018. "SABCEMM-A Simulator for Agent-Based Computational Economic Market Models," Papers 1801.01811, arXiv.org, revised Oct 2018.
  51. Jung-Suk Yu & Kabir Hassan, 2008. "Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African (MENA) Stock Markets," Working Papers 388, Economic Research Forum, revised 01 Jan 2008.
  52. Ye, Yusong & Yang, Zhuoqin & Zhang, Zili, 2016. "Opinion evolution and rare events in an open community," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 1178-1188.
  53. Jung‐Suk Yu & M. Kabir Hassan, 2010. "Rational speculative bubbles in MENA stock markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(3), pages 247-264, August.
  54. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for rational bubbles in banking indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 365-376.
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