منابع مشابه
Stochastic speculative price.
Because a commodity like wheat can be carried forward from one period to the next, speculative arbitrage serves to link its prices at different points of time. Since, however, the size of the harvest depends on complicated probability processes impossible to forecast with certainty, the minimal model for understanding market behavior must involve stochastic processes. The present study, on the ...
متن کاملPurchasing Speculative Inventory for Price Sensitive Demand
The problem studied is one of buying and selling products cost efficiently over a number of periods in a finite horizon setting. Unit purchase costs vary across periods acording to some known distribution.and demand is deterministic but dependent on the price charged for the product. Thus, the problem becomes one of exploiting opportunities to “forward buy” and sell profitably in the face of co...
متن کاملSpeculative behaviour and complex asset price dynamics
This paper analyses the dynamics of a model of a share market consisting of two groups of traders: fundamentalists, who form rational expectations on the fundamental value of the asset, and chartists, who base their trading decisions on an analysis of past price trends. The model is reduced to a two-dimensional map whose dynamic behaviour is analysed in detail, particularly with respect to glob...
متن کاملThe Stochastic Dynamics of Speculative Behaviour
On the basis of the ideas of Goldman and Beja(1980) and Chiarella(1992), we construct a stochastic model of speculative dynamics that has a stochastic equilibrium. In this model, different expectations for the price of fundamentalists and chartists are introduced into the model. The system is analyzed using concepts and techniques from the theory of Random dynamical systems. The model exhibits ...
متن کاملDetermining bottom price - levels after a speculative peak
During a stock market peak the price of a given stock (i) jumps from an initial level p 1 (i) to a peak level p 2 (i) before falling back to a bottom level p 3 (i). The ratios A(i) = p 2 (i)/p 1 (i) and B(i) = p 3 (i)/p 1 (i) are referred to as the peak-and bottom-amplitude respectively. The paper shows that for a sample of stocks there is a linear relationship between A(i) and B(i) of the form...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Proceedings of the National Academy of Sciences
سال: 1971
ISSN: 0027-8424,1091-6490
DOI: 10.1073/pnas.68.2.335