MULTIASSET MARKET DYNAMICS

Frank H. Westerhoff

115 citations0/0 files storedMacroeconomic Dynamics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Economic theories and models Complex Systems and Time Series Analysis

Abstract

This paper explores multiasset market dynamics. We consider a limited number of markets on which two types of agents are active. Fundamentalists specialize in a certain market to gather expertise. Chartists may switch between markets since they use simple extrapolative methods. Specifically, chartists prefer markets that display price trends but that are not too misaligned. The interaction between the traders causes complex dynamics. Even in the absence of random shocks, our artificial markets mimic the behavior of actual asset markets closely. Our model also offers reasons for the high degree of comovements in stock prices observed empirically.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 115 citations exist upstream.

References

1974Judgment under Uncertainty: Heuristics and Biases 1997The Econometrics of Financial Markets 1997A Rational Route to Randomness 1998Heterogeneous beliefs and routes to chaos in a simple asset pricing model 1992The use of technical analysis in the foreign exchange market 2013Journal of Economic Dynamics and Control 2000VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS 1990Bulls, bears and market sheep

Cited by

2009Heterogeneity, Market Mechanisms, and Asset Price Dynamics 2005The effectiveness of Keynes–Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach 2006Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework 2007Power-law behaviour, heterogeneity, and trend chasing 2008Using an artificial financial market for assessing the impact of Tobin-like transaction taxes 2009Behavioural heterogeneity and shift-contagion: Evidence from the Asian crisis

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.