Publication
Jun 2011
Chartist and fundamentalist models have proven to be capable of replicating stylized facts on speculative markets, generally achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective trader groups. This paper investigates whether or not regressive and extrapolative expectations themselves exhibit significant nonlinear dynamics.
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English (PDF, 42 pages, 1.0 MB) |
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Author | Stefan Reitz, Jan-Christoph Rülke, Georg Stadtmann |
Series | Kiel Institute Working Papers |
Issue | 1706 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2011 Kiel Institute for the World Economy |