Alexander Khomin

University of Technology Sydney , Sydney, New South Wales, Australia

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Publications (6)1.5 Total impact

  • Carl Chiarella, Alexander Khomin
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    ABSTRACT: In a basic model of monetary dynamics we allow inflationary expectations to be formed as a weighted average of fundamentalist and chartists expectations. The fundamentalists form inflationary expectations rationally in the traditional sense in that they have full knowledge of the economic environment. The chartists form expectations by using standard trend chasing expectations schemes. As inflation acceleratesfdeccelerates an increasing proportion of agents switch from chartism to fundamentalism and fundamentalists put increasing weight on a reversion towards the fundamental value. The study the dynamics of the resulting economic system and show that it can exhibit a range of complex dynamic behaviour.
    07/2011: pages 151-165;
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    Carl Chiarella, Alexander Khomin
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    ABSTRACT: In this paper we propose a framework for studying possible causes of excess exchange rate volatility. The framework consists of a generalized Dornbusch model of exchange rate dynamics, involving imperfect substitutability between assets, lagged nonlinear protfolio adjustment and les than perfectly rational expectations. As the model involves non-linear portfolio adjustment, it remains globally bounded even when the steady state is locally unstable. This economic environment is populated by a group of sophisticated agents who employ a maximum likelihood learning algorithm tolearnce about the "true" model. We use simulations to study the convergence of the learning scheme and its effect on exchange rate dynamics. Our analysis suggests that learning of speed of adjustment type parameters can be a source of exchange rate bubbles because of their effect on the local stability of the steady state.
    SSRN Electronic Journal 01/2000;
  • Carl Chiarella, Alexander Khomin
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    ABSTRACT: We consider the fate of output in the Cournot oligopoly model when the equilibrium is locally unstable. We discuss types of nonlinearities which may be present to bound the motion and introduce time lags in production and information which serve as bifurcation parameters. We apply the Hopf bifurcation theorem to determine conditions under which limit cycle motion is born, and use computer simulations to investigate the nature of the attractors generated by such models.
    Chaos Solitons & Fractals 12/1996; · 1.50 Impact Factor
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    Carl Chiarella, Alexander Khomin
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    ABSTRACT: This paper considers a version of the Dornbusch model of exchange rate dynamics which allows a nonlinear domestic demand for foreign assets function and imperfect substitutability between domestic and foreign interest bearing assets. Expectations of exchange rate changes are modelled as adaptive with perfect foresight being obtained as a limiting case. For sufficiently rapid speed of adjustment of expectations the model is able to generate cyclical behaviour of the exchange rate and expectations of its change. In the perfect foresight limit the cycles become relaxation cycles. To this underlying model of the fundamentals a white noise "news" process is added. Agents are assumed to attempt to learn about the system dynamics and the link between such learning and exchange rate volatility is studied. Two learning scenarios are considered. In the first scenario economic agents are regarded as a uniformly well-informed group of sophisticated traders. In the second scenario a group of "naive" traders coexist with the sophisticated traders. We find that both learning scenarios lead to increased volatility. However this effect increases in proportion to the weight of the "naive" traders.
    06/1996;
  • Carl Chiarella, Alexander Khomin
  • Carl Chiarella, Alexander Khomin

Publication Stats

14 Citations
1.50 Total Impact Points

Institutions

  • 1996
    • University of Technology Sydney 
      Sydney, New South Wales, Australia