Heterogeneity, nonlinearity and endogenous market volatility

DOI10.1007/s11424-011-9054-8zbMath1338.93052OpenAlexW2067045252MaRDI QIDQ300996

Wei Shang, Hong-Quan Li, Shou-Yang Wang

Publication date: 29 June 2016

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-011-9054-8

zbMATH Keywords

nonlinearityheterogeneous agentscomputational financeendogenous volatilitynoisy chaosstylized facts

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Financial applications of other theories (91G80) Stochastic systems in control theory (general) (93E03)

Cites Work

• Measuring the strangeness of strange attractors
• On the unstable behaviour of stock exchanges
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Is it possible to study chaotic and ARCH behaviour jointly? application of a noisy Mackey-Glass equation with heteroskedastic errors to the Paris Stock exchange returns series
• Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
• A test for independence based on the correlation dimension
• A Rational Route to Randomness

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