A 'bull and bear' model of interacting ?financial markets. Part II: dynamics in three dimensions

Fabio Tramontana, Laura Gardini (), Roberto Dieci () and Frank Westerhoff
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Roberto Dieci: Università di Bologna

No 808, Working Papers from University of Urbino Carlo Bo, Department of Economics, Society & Politics - Scientific Committee - L. Stefanini & G. Travaglini

Abstract: In the fi?rst part of our paper we proposed a three-dimensional nonlinear dynamic model of interacting stock and foreign exchange markets, jointly driven by the speculative activity of heterogeneous investors. We focused, in particular, on the typical 'bull and bear' scenario that emerges from simpli?ed one- and two-dimensional settings. The goal of this part of the paper is to provide a global analysis of the dynamics of the full model. As it turns out, the results we obtained in the fi?rst part may serve as a road map to develop an initial understanding of the much more complicated three-dimensional model.

Keywords: Heterogeneous speculators; bull and bear markets; nonlinear dynamics; homoclinic bifurcations. (search for similar items in EconPapers)
JEL-codes: C61 C63 D84 G15 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2008, Revised 2008
New Economics Papers: this item is included in nep-fmk
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http://www.econ.uniurb.it/RePEc/urb/wpaper/WP_08_08.pdf First version, 2008 (application/pdf)

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