Bulls, bears and market sheep

Day, Richard H.; Huang, Weihong

doi:10.1016/0167-2681(90)90061-h

Cited by 505 publications

(450 citation statements)

References 10 publications

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“…Again, endogenous competition between trading strategies may lead to complex price dynamics. Other influential models include Day and Huang (1990), Chiarella (1992), de Grauwe et al (1993, Chiarella et al (2002), Westerhoff and Dieci (2006) and de Grauwe and Grimaldi (2006). Such speculative forces are essential to our model.…”

Section: Introductionmentioning

confidence: 93%

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A simple model of a speculative housing market

Dieci

Westerhoff

2011

J Evol Econ

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We develop a simple model of a speculative housing market in which the demand for houses is influenced by expectations about future housing prices. Guided by empirical evidence, agents rely on extrapolative and regressive forecasting rules to form their expectations. The relative importance of these competing views evolves over time, subject to market circumstances. As it turns out, the dynamics of our model is driven by a two-dimensional nonlinear map which may display irregular boom and bust housing price cycles, as repeatedly observed in many actual markets. However, we also find that speculation may be a source of both stability and instability.

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Section: Introductionmentioning

confidence: 93%

“…Accordingly, their speculative demand is positive (negative). This simple yet elegant formulation goes back to Day and Huang (1990), and has been applied in a number of theoretical papers focussing on speculative dynamics. According to (12), rising prices lead to an increase in demand, i.e.…”

Section: Speculative Demandmentioning

confidence: 99%

A simple model of a speculative housing market

Dieci

Westerhoff

2011

J Evol Econ

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“…Almost parallel to that, boundedly rational heterogeneous agents models (BRHA models, or HAM) were developed. This heterogeneous agents theory, originally founded by Zeeman (1974), Beja and Goldman (1980), and Frankel and Froot (1987) and further developed by, among others, Hommes (1997, 1998), Day and Huang (1990), Chiarella (1992), and De Grauwe et al (1993, rejects the idea that investors behave rationally.…”

Section: Boundedly Rational Heterogeneous Agents Modelsmentioning

confidence: 99%

Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence

Ellen¹,

Verschoor

2017

SSRN Journal

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“…This specification, which dates back to Day and Huang (1990), has often been adopted in the heterogeneous agent literature, and represents the most parsimonious way to capture the interplay between extrapolative and regressive beliefs (see, e.g. De Grauwe et al 1993, Dieci and.…”

Section: The Dynamic Interplay Between Extrapolative and Regressive Dmentioning

confidence: 99%

Modeling House Price Dynamics with Heterogeneous Speculators

Dieci

Westerhoff

2012

Global Analysis of Dynamic Models in Economics and Finance

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This paper investigates the impact of speculative behavior on house price dynamics. Speculative demand for housing is modeled using a heterogeneous agent approach, whereas 'real' demand and housing supply are represented in a standard way. Together, real and speculative forces determine excess demand in each period and house price adjustments. Three alternative models are proposed, capturing in different ways the interplay between fundamental trading rules and extrapolative trading rules, resulting in a 2D, a 3D, and a 4D nonlinear discretetime dynamical system, respectively. While the destabilizing effect of speculative behavior on the model's steady state is proven in general, the three specific cases illustrate a variety of situations that can bring about endogenous dynamics, with lasting and significant price swings around the 'fundamental' price, as we have seen in many real markets.

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Bulls, bears and market sheep

Cited by 505 publications

References 10 publications

A simple model of a speculative housing market

A simple model of a speculative housing market

Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence

Modeling House Price Dynamics with Heterogeneous Speculators

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