In this note, we report a result not recognized in the model analyzed in Naimzada and Ricchiuti (2009) [1]: heterogeneity may have an ambiguous role in the complex dynamics. Indeed, given high reactivity of either market maker or agents, an increasing heterogeneity initially stabilizes the price (through a subcritical period two cycle) and then it destabilizes the price (initially through a pitchfork bifurcation). Moreover, we define better the structure of beliefs, highlighting their position in comparison with a unique (not observed) fundamental value and assuming that agents are pure biased traders.
Naimzada, A., Ricchiuti, G. (2012). A note on biased fundamentalists. CHAOS, SOLITONS AND FRACTALS, 45(3), 224-228 [10.1016/j.chaos.2011.12.007].
A note on biased fundamentalists
NAIMZADA, AHMAD KABIR;
2012
Abstract
In this note, we report a result not recognized in the model analyzed in Naimzada and Ricchiuti (2009) [1]: heterogeneity may have an ambiguous role in the complex dynamics. Indeed, given high reactivity of either market maker or agents, an increasing heterogeneity initially stabilizes the price (through a subcritical period two cycle) and then it destabilizes the price (initially through a pitchfork bifurcation). Moreover, we define better the structure of beliefs, highlighting their position in comparison with a unique (not observed) fundamental value and assuming that agents are pure biased traders.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
