The Dynamics of Speculative Behaviour

Carl Chiarella

No 13, Working Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: A number of recent emirical studies cast some doubt on the random walk theory of asset prices and suggest these display significant transitory components and complex chaotic motion. This paper analyses a model of fundamentalists and chartists which can generate a number of dynamic regimes which are compatible with the recent empirical evidence.

Pages: 29 pages
Date: 1992-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (312)

Published as: Chiarella, C. 1992, "The Dynamics of Speculative Behaviour", Annals of Operations Research, 37(1), pp. 101-123.

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