Contagion between asset markets: a two market heterogeneous agents model with destabilising spillover effects

DOI10.1016/j.jedc.2018.10.005zbMath1411.91385OpenAlexW2914395534WikidataQ128549775 ScholiaQ128549775MaRDI QIDQ1734560

Joris Vroegop, Cars H. Hommes

Publication date: 27 March 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://pure.uva.nl/ws/files/38607853/1_s2.0_S0165188919300089_main.pdf

zbMATH Keywords

nonlinear dynamicsnumerical simulationbiasbubblescontagionheterogeneous beliefscomplex adaptive systemsmarket interaction

Mathematics Subject Classification ID

Economic dynamics (91B55) Heterogeneous agent models (91B69)

Cites Work

• An evolutionary CAPM under heterogeneous beliefs
• Interactions between the real economy and the stock market: a simple agent-based approach
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach
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• Stability analysis of a cobweb model with market interactions
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• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Heterogeneous expectations, boom-bust housing cycles, and supply conditions: a nonlinear economic dynamics approach
• Speculative behavior and the dynamics of interacting stock markets
• Modeling House Price Dynamics with Heterogeneous Speculators
• A Rational Route to Randomness
• MULTIASSET MARKET DYNAMICS
• The Dynamic Interaction of Speculation and Diversification

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