Please use this identifier to cite or link to this item:
https://hdl.handle.net/10356/46229
Title: | Essays in financial crises | Authors: | Zheng, Huanhuan | Keywords: | DRNTU::Social sciences::Economic theory::Macroeconomics | Issue Date: | 2011 | Source: | Zheng, H. (2011). Essays in financial crises. Doctoral thesis, Nanyang Technological University, Singapore. | Abstract: | This thesis explores the power of deterministic dynamic model in capturing the qualitative attributes of financial crises and statistical features of the financial time series. It is shown that, even without any random processes/variables, the deterministic dynamic model performs well in generating crises of different patterns which are distinguished by their durations and accumulative depth and in reproducing a wide range of stylized facts that are common across financial markets. Such good performance is ascribed to the innovative modeling of investors' beliefs. Specifically, investors' beliefs are regime-dependent, they are updated according to various psychological trading regimes enclosed by different support and resistance prices. | URI: | https://hdl.handle.net/10356/46229 | DOI: | 10.32657/10356/46229 | Schools: | School of Humanities and Social Sciences | Fulltext Permission: | open | Fulltext Availability: | With Fulltext |
Appears in Collections: | HSS Theses |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
ThG0701013K.pdf | 2.25 MB | Adobe PDF | View/Open |
Page view(s) 20
733
Updated on Mar 18, 2024
Download(s) 10
361
Updated on Mar 18, 2024
Google ScholarTM
Check
Altmetric
Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.