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首页> 外文期刊>Journal of Economic Dynamics and Control >Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates
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Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates

机译：异构投机者，内生波动和相互作用的市场：股票价格和汇率的模型

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摘要

We develop a discrete-time model in which the stock markets of two countries are linked via and with the foreign exchange market. The foreign exchange market is characterized by nonlinear interactions between technical and fundamental traders. Such interactions may generate complex dynamics and recurrent switching between "bull" and "bear" market phases via a well-known pitchfork and period-doubling bifurcation path, when technical traders become more aggressive. The two stock markets are populated by fundamentalists, and prices tend to evolve towards stable steady states, driven by linear laws of motion. A connection between such markets is established by allowing investors to trade abroad, and the resulting three-dimensional dynamical system is analyzed. One goal of our paper is to explore potential spill-over effects between foreign exchange and stock markets. A second, related goal is to study how the bifurcation sequence which characterizes the market with heterogeneous speculators is modified in the presence of interactions with other markets.
机译：我们开发了一个离散时间模型，在该模型中，两个国家的股票市场通过外汇市场相互连接。外汇市场的特点是技术交易员与基本交易员之间存在非线性相互作用。当技术交易员变得更加积极时，这种相互作用可能会通过众所周知的干草叉和周期翻倍的分叉路径，在“牛市”和“熊市”市场阶段之间产生复杂的动态和循环切换。这两个股票市场都由原教旨主义者组成，在线性运动定律的驱动下，价格趋向于趋于稳定的稳态。通过允许投资者在国外进行交易，建立了这些市场之间的联系，并分析了由此产生的三维动力学系统。本文的目标之一是探索外汇和股票市场之间的潜在溢出效应。第二个相关的目标是研究在与其他市场互动的情况下如何修改以异构投机者为特征的市场的分叉序列。

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