The effect of external noise on the dynamics od speculative markets

• Autores: José Miguel Pacheco Castelao, José María López Meléndez, César Rodríguez Mielgo
• Localización: Revista de la Academia Canaria de Ciencias: = Folia Canariensis Academiae Scientiarum, ISSN 1130-4723, Vol. 12, Nº. 1-2, 2000, págs. 135-146
• Idioma: inglés
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• Resumen

  • A general model for asset price dynamics in speculative markets is considered. The choice of a chartist demand function allows to check out the agreement between analytical predictions and numerical simulations of this model. A discussion is presented on the effect of market noise on speculative behaviour. First, by solving a particular Fokker-Planck equation we show that the white noise has only a disorganizing effect around the deterministic equilibrium state. Second, a separation condition is used to deduce the existence of limit cycles in the slow-fast dynamics for small values of the average time needed for the chartist formation of the price trend. Numerical results show that the effect of noise can double the wavelength of alternate slow and fast transitions.