A Stochastic Chartist–Fundamentalist Model with Time Delays
A stochastic chartist–fundamentalist model of speculative asset dynamics in financial markets is developed. The model is represented by a stochastic delay-differential equation (SDDE). The SDDE is then solved using approximation and numerical Monte Carlo methods. The results show that for large time...
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| Format: | article |
| Published: |
2012
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| Online Access: | http://hdl.handle.net/10725/3527 http://dx.doi.org/10.1007/s10614-012-9329-8 http://link.springer.com/article/10.1007/s10614-012-9329-8 |
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