Browsing General by Author "Chiarella Carl"

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Browsing General by Author "Chiarella Carl"

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  • Asset Price Dynamics in a Financial Market with Fundamentalists and Chartists 
    Chiarella Carl; Dieci Roberto; Gardini Laura (Hindawi Publishing Corporation, 2001)
    In this paper we consider a model of the dynamics of speculative markets involving the interaction of fundamentalists and chartists. The dynamics of the model are driven by a two-dimensional map that in the space of the ...
  • Does the market maker stabilize the market? 
    Zhu Mei; Chiarella Carl; He Xuezhong; Wang Duo (Elsevier Science BV, 2009)
    The market maker plays an important role in price formation, but his/her behavior and stabilizing impact on the market are relatively unclear, in particular in speculative markets. This paper develops a financial market ...
  • Dynamic Oligopilies, Stability and Bifurcation 
    Szidarovszky Ferenc; Chiarella Carl (Universidad De La Frontera, 2001)
    The theory of dynamic oligopolies is outlined. The asymptotical stability of the equilibrium is first verified under realistic conditions, with and without full information on the demand functions. In the presence of ...
  • Dynamic oligopolies and intertemporal demand interaction 
    Chiarella Carl; Szidarovsky Ferenc (Universidad de la Frontera, 2009)
    Dynamic oligopolies are examined with continuous time scales and under the assumption that the demand at each time period is affected by earlier demands and consumptions. After the mathematical model is introduced the local ...
  • A Game Theoretical Coalition Model of International Fishing with Time Delay 
    Engel Andrew; Szidarovszky Ferenc; Chiarella Carl (Exodus Press, 2007)
    The oligopoly model of international fishing of Szidarovszky and Okuguchi [7] where the harvesting countries form a coalition is revisited with the additional assumption that there is a time lag in obtaining and ...
  • Inferring the forward looking equity risk premium from derivative prices 
    Bhar Ramaprasad; Chiarella Carl; Runggaldier Wolfgang (Berkeley Electronic Press, 2004)
    This paper considers the measurement of the equity risk premium in financial markets from a new perspective that picks up on a suggestion from Merton (1980) to use implied volatility of options on a market portfolio as ...
  • A multiobjective model of oligopolies under uncertainty 
    Chiarella Carl; Szidarovsky Ferenc (Universidad de la Frontera, 2009)
    It is assumed that in an n-firm single-product oligopoly without product differentiation the firms face an uncertain price function, which is considered random by the firms. At each time period each firm simultaneously ...
  • Stock market, interest rate and output: a model and estimation for US time series data 
    Semmler Willi; Mittnik Stefan; Chiarella Carl; Zhu Peiyuan (Berkeley Electronic Press, 2002)
    In this paper we construct a model of stock market, interest rate and output interaction which is a generalization of the well known 1981 model of Blanchard. We allow for imperfect substitutability between stocks and ...