Speculative dynamics in a time-delay model of asset prices
In this paper, a time-delay model of speculative asset markets is developed to investigate the effect of time delays on the dynamics of asset prices. The basic model investigates the effect of time delays in the chartists expectations function on the deviation of asset prices from their fundamental...
محفوظ في:
| المؤلف الرئيسي: | |
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| التنسيق: | article |
| منشور في: |
2005
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| الوصول للمادة أونلاين: | http://hdl.handle.net/10725/3823 http://dx.doi.org/10.1016/j.physa.2005.02.084 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.sciencedirect.com/science/article/pii/S0378437105002931 |
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| _version_ | 1864513462208561152 |
|---|---|
| author | Dibeh, Ghassan |
| author_facet | Dibeh, Ghassan |
| author_role | author |
| dc.creator.none.fl_str_mv | Dibeh, Ghassan |
| dc.date.none.fl_str_mv | 2005 2016-05-17T10:30:03Z 2016-05-17T10:30:03Z 2016-05-19 |
| dc.identifier.none.fl_str_mv | 0378-4371 http://hdl.handle.net/10725/3823 http://dx.doi.org/10.1016/j.physa.2005.02.084 Dibeh, G. (2005). Speculative dynamics in a time-delay model of asset prices. Physica A: Statistical Mechanics and its Applications, 355(1), 199-208. http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.sciencedirect.com/science/article/pii/S0378437105002931 |
| dc.language.none.fl_str_mv | en |
| dc.relation.none.fl_str_mv | Physica A: Statistical Mechanics and its Applications |
| dc.rights.*.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.title.none.fl_str_mv | Speculative dynamics in a time-delay model of asset prices |
| dc.type.none.fl_str_mv | Article info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | In this paper, a time-delay model of speculative asset markets is developed to investigate the effect of time delays on the dynamics of asset prices. The basic model investigates the effect of time delays in the chartists expectations function on the deviation of asset prices from their fundamental value. A nonlinear model is then solved showing that limit cycles may exist explaining the persistence of these deviations in speculative markets. Time delays are shown to have an effect on the generation of limit cycles. The model is also extended to include endogenous wealth dynamics. Solutions to the model show that time delays affect the time evolution of the chartists and fundamentalists share of wealth. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | LAURepo_4605d0d7932d36281e16b3e65fa7e277 |
| identifier_str_mv | 0378-4371 Dibeh, G. (2005). Speculative dynamics in a time-delay model of asset prices. Physica A: Statistical Mechanics and its Applications, 355(1), 199-208. |
| language_invalid_str_mv | en |
| network_acronym_str | LAURepo |
| network_name_str | Lebanese American University repository |
| oai_identifier_str | oai:laur.lau.edu.lb:10725/3823 |
| publishDate | 2005 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Speculative dynamics in a time-delay model of asset pricesDibeh, GhassanIn this paper, a time-delay model of speculative asset markets is developed to investigate the effect of time delays on the dynamics of asset prices. The basic model investigates the effect of time delays in the chartists expectations function on the deviation of asset prices from their fundamental value. A nonlinear model is then solved showing that limit cycles may exist explaining the persistence of these deviations in speculative markets. Time delays are shown to have an effect on the generation of limit cycles. The model is also extended to include endogenous wealth dynamics. Solutions to the model show that time delays affect the time evolution of the chartists and fundamentalists share of wealth.PublishedN/A2016-05-17T10:30:03Z2016-05-17T10:30:03Z20052016-05-19Articleinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article0378-4371http://hdl.handle.net/10725/3823http://dx.doi.org/10.1016/j.physa.2005.02.084Dibeh, G. (2005). Speculative dynamics in a time-delay model of asset prices. Physica A: Statistical Mechanics and its Applications, 355(1), 199-208.http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.phphttp://www.sciencedirect.com/science/article/pii/S0378437105002931enPhysica A: Statistical Mechanics and its Applicationsinfo:eu-repo/semantics/openAccessoai:laur.lau.edu.lb:10725/38232021-03-19T09:10:05Z |
| spellingShingle | Speculative dynamics in a time-delay model of asset prices Dibeh, Ghassan |
| status_str | publishedVersion |
| title | Speculative dynamics in a time-delay model of asset prices |
| title_full | Speculative dynamics in a time-delay model of asset prices |
| title_fullStr | Speculative dynamics in a time-delay model of asset prices |
| title_full_unstemmed | Speculative dynamics in a time-delay model of asset prices |
| title_short | Speculative dynamics in a time-delay model of asset prices |
| title_sort | Speculative dynamics in a time-delay model of asset prices |
| url | http://hdl.handle.net/10725/3823 http://dx.doi.org/10.1016/j.physa.2005.02.084 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.sciencedirect.com/science/article/pii/S0378437105002931 |