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The dynamics of speculative behaviour

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Abstract

A number of recent empirical studies cast some doubt on the random walk theory of asset prices and suggest these display significant transitory components and complex chaotic motion. This paper analyses a model of fundamentalists and chartists which can generate a number of dynamic regimes which are compatible with the recent empirical evidence.

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Authors and Affiliations

  1. School of Finance and Economics, University of Technology Sydney, Broadway 2007, P.O. Box 123, Sydney, N.S.W., Australia

    Carl Chiarella

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  1. Carl Chiarella
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Chiarella, C. The dynamics of speculative behaviour. Ann Oper Res 37, 101–123 (1992). https://doi.org/10.1007/BF02071051

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