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Nonlinear Economic Dynamics and Financial Modelling

Essays in Honour of Carl Chiarella

  • Book
  • © 2014

Overview

Editors:
  1. Roberto Dieci

    1. Department of Mathematics, University of Bologna, Bologna, Italy

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  2. Xue-Zhong He

    1. UTS Business School, University of Technology, Sydney, Sydney, Australia

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    You can also search for this editor in PubMed   Google Scholar

  3. Cars Hommes

    1. Amsterdam School of Economics, University of Amsterdam, Amsterdam, The Netherlands

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  • Presents the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance
  • Illustrates some of the most recent research tools in these areas
  • Targets economists and mathematicians in research and practice
  • Includes supplementary material: sn.pub/extras

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Table of contents (21 chapters)

  1. Front Matter

    Pages i-xv
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  2. Introduction

    • Roberto Dieci, Xue-Zhong He, Cars Hommes
    Pages 1-7

  4. Nonlinear Economic Dynamics

    1. Front Matter

      Pages 25-25
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    2. Expectations, Firms’ Indebtedness and Business Fluctuations in a Structural Keynesian Monetary Growth Framework

      • Matthieu Charpe, Peter Flaschel, Christian R. Proaño, Willi Semmler
      Pages 27-39

    3. Mathematical Modelling of Financial Instability and Macroeconomic Stabilisation Policies

      • Toichiro Asada
      Pages 41-63

    4. Bifurcation Structure in a Model of Monetary Dynamics with Two Kink Points

      • Anna Agliari, Laura Gardini, Iryna Sushko
      Pages 65-81

    5. Boundedly Rational Monopoly with Single Continuously Distributed Time Delay

      • Akio Matsumoto, Ferenc Szidarovszky
      Pages 83-107

    6. Learning and Macro-Economic Dynamics

      • Simone Landini, Mauro Gallegati, Joseph E. Stiglitz, Xihao Li, Corrado Di Guilmi
      Pages 109-134

    7. How Non-normal Is US Output?

      • Reiner Franke
      Pages 135-159

  5. Financial Market Modelling

    1. Front Matter

      Pages 161-161
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    2. Heterogeneous Beliefs and Quote Transparency in an Order-Driven Market

      • Polina Kovaleva, Giulia Iori
      Pages 163-181

    3. The Simplicity of Optimal Trading in Order Book Markets

      • Daniel Ladley, Paolo Pellizzari
      Pages 183-199

    4. Regime Switching Models in the Foreign Exchange Market

      • Wai-Mun Chia, Mengling Li, Huanhuan Zheng
      Pages 201-223

    5. Time-Varying Cross-Speculation in Currency Futures Markets: An Empirical Analysis

      • Andreas Röthig, Andreea Röthig
      Pages 225-233

    6. Computational Issues in the Stochastic Discount Factor Framework for Equity Risk Premium

      • Ramaprasad Bhar, A. G. Malliaris
      Pages 235-249

  6. Quantitative Finance

    1. Front Matter

      Pages 251-251
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    2. On the Risk Evaluation Method Based on the Market Model

      • Masaaki Kijima, Yukio Muromachi
      Pages 253-273
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Keywords

About this book

This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.

Editors and Affiliations

  • Department of Mathematics, University of Bologna, Bologna, Italy

    Roberto Dieci

  • UTS Business School, University of Technology, Sydney, Sydney, Australia

    Xue-Zhong He

  • Amsterdam School of Economics, University of Amsterdam, Amsterdam, The Netherlands

    Cars Hommes

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