Expectations, Price Fluctuations and Lorenz Attractor

Victor Olkhov

MPRA Paper from University Library of Munich, Germany

Abstract: This paper describes expectations and Buy-Sell transactions of selected Stokes between economic agents and Exchange on economic space as ground for modeling trading volume and price fluctuations. We study simple model of mutual relations between transactions and expectations and derive economic equations that describe disturbances of price, trading volume and expectations. We obtain simple harmonic oscillations for price fluctuations. We show that our model economic equations can take form of Lorenz attractor. Our approximation of transactions and expectations and economic equations on disturbances of price, trading volume and expectations allows apply dynamical systems methods for modeling chaotic behavior of economic and financial systems.

Keywords: Financial Transactions; Expectations; Economic Space; Stochastic Prices (search for similar items in EconPapers)
JEL-codes: C60 E00 E03 E30 G02 G12 G17 (search for similar items in EconPapers)
Date: 2018-09-20
New Economics Papers: this item is included in nep-mac and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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https://mpra.ub.uni-muenchen.de/89222/1/MPRA_paper_89222.pdf revised version (application/pdf)

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