Piecewise-linear maps and their application to finicial markets
Faculty/Professorship: | Economic Policy |
Author(s): | Tramontana, Fabio; Westerhoff, Frank H. ![]() |
Publisher Information: | Bamberg : Otto-Friedrich-Universität |
Year of publication: | 2023 |
Pages: | 1-10 |
Source/Other editions: | Frontierts in Applied Mathematics and Statistics, 2 (2016), S. 1-10. - ISSN: 2297-4687 |
is version of: | 10.3389/fams.2016.00010 |
Year of first publication: | 2016 |
Language(s): | English |
Licence: | Creative Commons - CC BY - Attribution 4.0 International |
URN: | urn:nbn:de:bvb:473-irb-587002 |
Abstract: | The goal of this paper is to review some work on agent-based financial market models in which the dynamics is driven by piecewise-linear maps. As we will see, such models allow deep analytical insights into the functioning of financial markets, may give rise to unexpected dynamics effects, allow explaining a number of important stylized facts of financial markets, and offer novel policy recommendations. However, much remains to be done in this rather new research field. We hope that our paper attracts more scientists to this area. |
GND Keywords: | Kreditmarkt; Finanzkrise; Wertpapier; Finanzanalyse; Eingeschränkte Rationalität |
Keywords: | piecewise-linear maps, financial markets, border-collision bifurcations, bubbles and crushes, bounded rationality |
DDC Classification: | 330 Economics 650 Management & public relations |
RVK Classification: | QK 700 |
Type: | Article |
URI: | https://fis.uni-bamberg.de/handle/uniba/58700 |
Release Date: | 25. April 2023 |
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originated at the
University of Bamberg
University of Bamberg