A Stochastic ChartistDSFundamentalist Model with Time Delays

A Stochastic ChartistDSFundamentalist Model with Time Delays

A stochastic chartistDSfundamentalist 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 tim...

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Bibliographic Details
Published in:Computational economics Vol. 40; no. 2; pp. 105 - 113
Main Authors: Dibeh, Ghassan, Harmanani, Haidar M
Format: Journal Article
Language:English
Published: 01-08-2012
Subjects:
Financial management
Monetary dynamics
Stochastic models
Stock exchange speculation
Stock prices
Online Access:Get full text
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Summary:A stochastic chartistDSfundamentalist 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. Reprinted by permission of Springer
Bibliography:ObjectType-Article-2
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ISSN:0927-7099
DOI:10.1007/s10614-012-9329-8