This paper aims at understanding the price dynamics generated by the interaction of traders relying on heterogeneous expectations in an asset pricing model.In the present work the authors analyze a financial market po...This paper aims at understanding the price dynamics generated by the interaction of traders relying on heterogeneous expectations in an asset pricing model.In the present work the authors analyze a financial market populated by five types of boundedly rational speculators-two types of fundamentalists,two types of chartists and trend followers which submit buying/selling orders according to different trading rules.The authors formulate a stock market model represented as a 2 dimensional piecewise linear discontinuous map.The proposed contribution to the existing financial literature is two aspects.First,the authors perform study of the model involving a 2 dimensional piecewise linear discontinuous map through a combination of qualitative and quantitative methods.The authors focus on the existence conditions of chaos and the multi-stability regions in parameter plane.Related border collision bifurcation curves and basins of multi-attractors are also given.The authors find that chaos or quasi-period exists only in the case of fixed point being a saddle(regular or flip)and that the coexistence of multiple attractors may exist when the fixed point is an attractor,but it is common for spiral and flip fixed points.展开更多
基金supported by the Fundamental Research Funds for the Central Universities,South-Central Minzu University under Grant No. CZT20006
文摘This paper aims at understanding the price dynamics generated by the interaction of traders relying on heterogeneous expectations in an asset pricing model.In the present work the authors analyze a financial market populated by five types of boundedly rational speculators-two types of fundamentalists,two types of chartists and trend followers which submit buying/selling orders according to different trading rules.The authors formulate a stock market model represented as a 2 dimensional piecewise linear discontinuous map.The proposed contribution to the existing financial literature is two aspects.First,the authors perform study of the model involving a 2 dimensional piecewise linear discontinuous map through a combination of qualitative and quantitative methods.The authors focus on the existence conditions of chaos and the multi-stability regions in parameter plane.Related border collision bifurcation curves and basins of multi-attractors are also given.The authors find that chaos or quasi-period exists only in the case of fixed point being a saddle(regular or flip)and that the coexistence of multiple attractors may exist when the fixed point is an attractor,but it is common for spiral and flip fixed points.
