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Complex dynamics, market mediation and stock price behavior. (With discussion by Irwin T. Vanderhoof). (English) Zbl 1080.91537

Summary: Most exchanges in a decentralized economy are mediated by agents who make markets. This paper applies the elementary theory of such mechanisms to equity markets. Based on stylized institutional and behavioral facts and exploiting the methods of nonlinear dynamics, it explains salient properties of stock market dynamics.

MSC:

91B62 Economic growth models
37N40 Dynamical systems in optimization and economics
91B28 Finance etc. (MSC2000)
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References:

[1] Black F., The Journal of Finance 41 pp 519– (1986)
[2] Clover R., Chapter 5 in The Dynamics of Market Economies (1985)
[3] Day R.H., Complex Economic Dynamics (1994) · Zbl 0864.90019
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[5] Friedman D., Journal of Economic Behavior 7 pp 129– (1986)
[6] Gu Mu., A Theory of Stock Price Behavior (1992)
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[8] Srinivasan R., An Econometric Study of Stock Market Prices (1993)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.