The stochastic bifurcation behaviour of speculative financial markets

被引:28
|
作者
Chiarella, Carl [1 ]
He, Xue-Zhong [1 ]
Wang, Duo [2 ]
Zheng, Min [1 ,2 ]
机构
[1] Univ Technol Sydney, Sch Finance & Econ, Sydney, NSW 2007, Australia
[2] Peking Univ, Sch Math Sci, Beijing 100871, Peoples R China
基金
中国国家自然科学基金; 澳大利亚研究理事会;
关键词
heterogeneous agents; speculative behaviour; random dynamical systems; stochastic bifurcations; invariant measures;
D O I
10.1016/j.physa.2008.01.078
中图分类号
O4 [物理学];
学科分类号
0702 ;
摘要
This paper establishes a continuous-time stochastic asset pricing model in a speculative financial market with fundamentalists and chartists by introducing a noisy fundamental price. By application of stochastic bifurcation theory, the limiting market equilibrium distribution is examined numerically. It is shown that speculative behaviour of chartists can cause the market price to display different forms of equilibrium distributions. In particular, when chartists are less active, there is a unique equilibrium distribution which is stable. However, when the chartists become more active, a new equilibrium distribution will be generated and become stable. The corresponding stationary density will change from a single peak to a crater-like density. The change of stationary distribution is characterized by a bimodal logarithm price distribution and fat tails. The paper demonstrates that stochastic bifurcation theory is a useful tool in providing insight into various types of financial market behaviour in a stochastic environment. (C) 2008 Elsevier B.V. All rights reserved.
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页码:3837 / 3846
页数:10
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