Essays in financial crises
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...
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sg-ntu-dr.10356-462292020-03-20T19:47:18Z Essays in financial crises Zheng, Huanhuan Huang Weihong School of Humanities and Social Sciences DRNTU::Social sciences::Economic theory::Macroeconomics 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. DOCTOR OF PHILOSOPHY (HSS) 2011-07-08T02:48:55Z 2011-07-08T02:48:55Z 2011 2011 Thesis Zheng, H. (2011). Essays in financial crises. Doctoral thesis, Nanyang Technological University, Singapore. 10356/46229 10.32657/10356/46229 en 121 p. application/pdf |
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DRNTU::Social sciences::Economic theory::Macroeconomics |
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DRNTU::Social sciences::Economic theory::Macroeconomics Zheng, Huanhuan Essays in financial crises |
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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. |
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Huang Weihong |
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Huang Weihong Zheng, Huanhuan |
| format |
Theses and Dissertations |
| author |
Zheng, Huanhuan |
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Zheng, Huanhuan |
| title |
Essays in financial crises |
| title_short |
Essays in financial crises |
| title_full |
Essays in financial crises |
| title_fullStr |
Essays in financial crises |
| title_full_unstemmed |
Essays in financial crises |
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essays in financial crises |
| publishDate |
2011 |
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1681034199697457152 |