A5088202203- Complex Systems and Time Series Analysis
- Economic theories and models
- Financial Markets and Investment Strategies
- Financial Risk and Volatility Modeling
- Monetary Policy and Economic Impact
- Market Dynamics and Volatility
- Nonlinear Dynamics and Pattern Formation
- Chaos control and synchronization
- Theoretical and Computational Physics
- Housing Market and Economics
- Global Financial Crisis and Policies
- Stock Market Forecasting Methods
- Experimental Behavioral Economics Studies
- Taxation and Compliance Studies
- Economic Policies and Impacts
- Mathematical Dynamics and Fractals
- Economic Theory and Policy
- Banking stability, regulation, efficiency
- Ecosystem dynamics and resilience
- Corporate Taxation and Avoidance
- Auction Theory and Applications
- Game Theory and Applications
- Innovation Diffusion and Forecasting
- Advanced Thermodynamics and Statistical Mechanics
- Mathematical and Theoretical Epidemiology and Ecology Models
University of Bamberg
2015-2024
Kyiv School of Economics
2018-2024
Institute of Mathematics
2018-2024
University of Urbino
2024
Università Cattolica del Sacro Cuore
2024
National Academy of Sciences of Ukraine
2024
University of the Sacred Heart
2024
Institute of Mathematics and Informatics
2024
Czech Academy of Sciences, Institute of Mathematics
2024
Osnabrück University
2000-2010
Summary Models with heterogeneous interacting agents have proven to be quite successful in the past. For instance, such models are able mimic dynamics of financial markets well. The goal our paper is explore whether this approach may offer new insights into working certain regulatory policies as transaction taxes, central bank interventions and trading halts. Although strand research rather novel, we argue that agent-based used artificial laboratories improve understanding how policy tools function.
We propose a financial market model in which speculators follow linear mix of technical and fundamental trading rules to determine their orders. Volatility clustering arises our due speculators' herding behaviour. In case heightened uncertainty, observe other actions more closely. Since behaviour then becomes less heterogeneous, the maker faces balanced excess demand consequently adjusts prices strongly. Estimating using method simulated moments reveals that it is able explain number...
This paper explores multiasset market dynamics. We consider a limited number of markets on which two types agents are active. Fundamentalists specialize in certain to gather expertise. Chartists may switch between since they use simple extrapolative methods. Specifically, chartists prefer that display price trends but not too misaligned. The interaction the traders causes complex Even absence random shocks, our artificial mimic behavior actual asset closely. Our model also offers reasons for...
We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign markets. Within our model, the market impact of depends on strength their belief fundamental analysis. Estimation STAR GARCH shows that more deviates from its value, leave market. In contrast previous findings, paper indicates due nonlinear presence fundamentalists, stability decreases increasing misalignments. A stabilization policy such as central bank interventions may help...