Search results for "Asset market"
showing 5 items of 5 documents
Stochastic sensitivity of bull and bear states
2021
We study the price dynamics generated by a stochastic version of a Day–Huang type asset market model with heterogenous, interacting market participants. To facilitate the analysis, we introduce a methodology that allows us to assess the consequences of changes in uncertainty on the dynamics of an asset price process close to stable equilibria. In particular, we focus on noise-induced transitions between bull and bear states of the market under additive as well as parametric noise. Our results are obtained by combining the stochastic sensitivity function (SSF) approach, a mixture of analytical and numerical techniques, due to Mil’shtein and Ryashko (1995) with concepts and techniques from th…
Asset price dynamics in a “bull and bear market”
2021
Abstract We generalize an existing asset market model with heterogenous agents. In particular, we consider the case in which no-trade and low-trade intervals of chartists and fundamentalists respectively are not congruent. Thus we model chartist and fundamentalists who respond to asset prices in agent-specific neighborhoods around the fundamental value with different trade intensities. The resulting asset price dynamics is generated by a one-dimensional 5-piece linear map with discontinuities. Our analysis of this map focusses on coexisting price equilibria. Conditions for their existence and stability are determined analytically. By visualizing the results we allow for a basic bifurcation …
TESTING FOR CONTAGION: A CONDITIONAL CORRELATION ANALYSIS
2005
Abstract In this paper, we test for contagion within the East Asian region, contagion being defined as a significant increase in the degree of comovement between stock returns in different countries. For this purpose, we use a parameter stability test, and, following [Rigobon, R., 2003a. On the measurement of the international propagation of shocks: is the transmission stable?, Journal of International Economics], we control for three types of bias, resulting from heteroscedasticity, endogeneity and omitted variable, respectively. The null of interdependence against the alternative of contagion is then tested as an overidentifying restriction. Unlike other studies, our approach is based on …
Asset Market Equilibria in Cryptocurrency Markets: Evidence from a Study of Privacy and Non-Privacy Coins
2019
This paper explores whether asset market equilibria in cryptocurrency markets exist. In doing so, it distinguishes between privacy and non-privacy coins. Most recently, privacy coins have attracted increasing attention in the public debate as non-privacy cryptocurrencies, such as Bitcoin, do not satisfy some users’ demands for anonymity. Analyzing ten cryptocurrencies with the highest market capitalization in each sub-market in the 2016–2018 period, we find that privacy coins and non-privacy coins exhibit two distinct market equilibria. Contributing to the current debate on the market efficiency of cryptocurrency markets, our findings provide evidence of market inefficiency. Moreover, the a…
Asset Markets and Equilibrium Selection in Public Goods Games with Provision Points: An Experimental Study
2001
This paper reports the experimental results of implicit pre-play communication on the equilibrium selection in threshold public goods game experiments. The existence of an asset market in which the right to participate in a public goods game with a provision point is auctioned off among a larger group in a first stage is found to enhance significantly the contribution to the provision of the public good in a subsequent second stage. Though, contributions declined on average in the repeated public goods game when subjects were endowed with the right to play, they increased when subjects purchased the right to play. Once reached the Pareto-dominant equilibrium in the second stage, the auction…