Piecewise-linear maps and their application to financial markets

Piecewise-linear maps and their application to financial markets

The goal of this paper is to review some work on agent-based financial market models in which the dynamics is driven by piecewise-linear maps. As we will see, such models allow deep analytical insights into the functioning of financial markets, may give rise to unexpected dynamics effects, allow exp...

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Bibliographic Details
Main Authors: Fabio Tramontana, Frank Westerhoff
Format: Article
Language:English
Published: Frontiers Media S.A. 2016-08-01
Series:Frontiers in Applied Mathematics and Statistics
Subjects:
bounded rationality
financial markets
Border-collision bifurcations
Piecewise-linear maps
bubbles and crushes
Online Access:http://journal.frontiersin.org/Journal/10.3389/fams.2016.00010/full
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spelling doaj-d8ef89e855fa4380b4427db8b282a1cc2020-11-25T02:52:59ZengFrontiers Media S.A.Frontiers in Applied Mathematics and Statistics2297-46872016-08-01210.3389/fams.2016.00010212425Piecewise-linear maps and their application to financial marketsFabio Tramontana0Frank Westerhoff1Catholic University MilanUniversity of BambergThe goal of this paper is to review some work on agent-based financial market models in which the dynamics is driven by piecewise-linear maps. As we will see, such models allow deep analytical insights into the functioning of financial markets, may give rise to unexpected dynamics effects, allow explaining a number of important stylized facts of financial markets, and offer novel policy recommendations. However, much remains to be done in this rather new research field. We hope that our paper attracts more scientists to this area.http://journal.frontiersin.org/Journal/10.3389/fams.2016.00010/fullbounded rationalityfinancial marketsBorder-collision bifurcationsPiecewise-linear mapsbubbles and crushes
collection DOAJ
language English
format Article
sources DOAJ
author Fabio Tramontana
Frank Westerhoff
spellingShingle Fabio Tramontana
Frank Westerhoff
Piecewise-linear maps and their application to financial markets
Frontiers in Applied Mathematics and Statistics
bounded rationality
financial markets
Border-collision bifurcations
Piecewise-linear maps
bubbles and crushes
author_facet Fabio Tramontana
Frank Westerhoff
author_sort Fabio Tramontana
title Piecewise-linear maps and their application to financial markets
title_short Piecewise-linear maps and their application to financial markets
title_full Piecewise-linear maps and their application to financial markets
title_fullStr Piecewise-linear maps and their application to financial markets
title_full_unstemmed Piecewise-linear maps and their application to financial markets
title_sort piecewise-linear maps and their application to financial markets
publisher Frontiers Media S.A.
series Frontiers in Applied Mathematics and Statistics
issn 2297-4687
publishDate 2016-08-01
description The goal of this paper is to review some work on agent-based financial market models in which the dynamics is driven by piecewise-linear maps. As we will see, such models allow deep analytical insights into the functioning of financial markets, may give rise to unexpected dynamics effects, allow explaining a number of important stylized facts of financial markets, and offer novel policy recommendations. However, much remains to be done in this rather new research field. We hope that our paper attracts more scientists to this area.
topic bounded rationality
financial markets
Border-collision bifurcations
Piecewise-linear maps
bubbles and crushes
url http://journal.frontiersin.org/Journal/10.3389/fams.2016.00010/full
work_keys_str_mv AT fabiotramontana piecewiselinearmapsandtheirapplicationtofinancialmarkets
AT frankwesterhoff piecewiselinearmapsandtheirapplicationtofinancialmarkets
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