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A Synergetic Approach to Speculative Price Volatility

Taisei KAIZOJI

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Summary :

In this paper we propose a heterogeneous agents model that represents speculative dynamics by using the synergetic approach. We consider the markets for three securities (a stock, a bond, and a foreign currency). Each market consists of two typical types of investors: fundamentalists and bandwagon traders. We show the characteristic patterns of speculative prices (speculative bubbles and speculative chaos) which are generated by trading between the fundamentalists and bandwagon traders.

Publication
IEICE TRANSACTIONS on Fundamentals Vol.E82-A No.9 pp.1874-1882
Publication Date
1999/09/25
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Type of Manuscript
Special Section PAPER (Special Section on Nonlinear Theory and Its Applications)
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