The Stochastic Dynamics of Speculative Behaviour
نویسندگان
چکیده
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 various dynamics regimes as the speed with which chartists adjust their estimate of the trend to the price change increases, moving from the global stability(slow adjustment speed) to limit cycle(fast adjustment speed).
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