Numerical Studies of Differential Equations Related to Theoretical Financial Markets
Appl. Math. Lett., Vol. 4, pp. 35-38, 1991
Posted: 18 Jan 2010
Date Written: January 1, 1990
Abstract
Numerical computations are performed on a model which has been proposed to describe the characteristic and psychological aspects of financial markets in a pure setting. Overreactions, fluctuations and convergence to realistic values are observed in these calculations. By varying parameters related to either emotional or rational motivations, one can obtain a spectrum of patterns which range from efficient to chaotic markets.
Keywords: Asset dynamics, computation, overreaction, momentum, trend, underreaction
JEL Classification: G10, G12
Suggested Citation: Suggested Citation
Caginalp, Gunduz and Ermentrout, Bard, Numerical Studies of Differential Equations Related to Theoretical Financial Markets (January 1, 1990). Appl. Math. Lett., Vol. 4, pp. 35-38, 1991, Available at SSRN: https://ssrn.com/abstract=1538028
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