On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders

被引：58
|
作者：
Tramontana, Fabio [1 ]
Westerhoff, Frank [2 ]
Gardini, Laura [3 ]
机构：
[1] Univ Politecn Marche, Dept Econ, I-60121 Ancona, Italy
[2] Otto Friedrich Univ Bamberg, Dept Econ, D-96045 Bamberg, Germany
[3] Univ Urbino, Dept Econ & Quantitat Methods, I-61029 Urbino, Italy
来源：
JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION | 2010年 / 74卷 / 03期
关键词：
Financial markets; Heterogeneous agents; Technical and fundamental analysis; Nonlinear dynamics; Discontinuous map; Bifurcation analysis; BORDER-COLLISION BIFURCATIONS; MULTI-PARAMETRIC BIFURCATIONS; BANDCOUNT INCREMENT SCENARIO; PERIOD; PIECEWISE; CHAOS; EXPECTATIONS; AGENTS;
D O I：
10.1016/j.jebo.2010.02.008
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We develop a financial market model with heterogeneous interacting agents: market makers adjust prices with respect to excess demand, chartists believe in the persistence of bull and bear markets and fundamentalists bet on mean reversion. Moreover, speculators trade asymmetrically in over- and undervalued markets and while some of them determine the size of their orders via linear trading rules others always trade the same amount of assets. The dynamics of our model is driven by a one-dimensional discontinuous map. Despite the simplicity of our model, analytical, graphical and numerical analysis reveals a surprisingly rich set of interesting dynamical behaviors. (C) 2010 Elsevier B.V. All rights reserved.
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页码：187 / 205
页数：19
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