Developing a model with a switching mechanism, we show how complex dynamics can be generated even though heterogeneity arises among agents with the same trading rules (fundamentalists). We assume that there are two experts which are imitated by other operators. We show that (i) market instability and periodic, or even, chaotic price fluctuations can be generated; (ii) conditions exist under which an expert can drive another expert out of the market; (iii) two experts can survive when the dynamic system either generates a period doubling bifurcation around an attractor or when an homoclinic bifurcation leads to the merging of the two attractors [R. Dieci, G.I. Bischi, L. Gardini, From bi-stability to chaotic oscillations in a macroeconomic model, Chaos, Solitons and Fractals 12 (2001) 805–822]; (iv) a central role is played by the reaction to misalignment of both market maker and agents

Naimzada, A., & Ricchiuti, G. (2008). Heterogeneous Fundamentalists and Imitative processes. APPLIED MATHEMATICS AND COMPUTATION, 199(1), 171-180 [10.1016/j.amc.2007.09.061].

Heterogeneous Fundamentalists and Imitative processes

NAIMZADA, AHMAD KABIR;
2008

Abstract

Developing a model with a switching mechanism, we show how complex dynamics can be generated even though heterogeneity arises among agents with the same trading rules (fundamentalists). We assume that there are two experts which are imitated by other operators. We show that (i) market instability and periodic, or even, chaotic price fluctuations can be generated; (ii) conditions exist under which an expert can drive another expert out of the market; (iii) two experts can survive when the dynamic system either generates a period doubling bifurcation around an attractor or when an homoclinic bifurcation leads to the merging of the two attractors [R. Dieci, G.I. Bischi, L. Gardini, From bi-stability to chaotic oscillations in a macroeconomic model, Chaos, Solitons and Fractals 12 (2001) 805–822]; (iv) a central role is played by the reaction to misalignment of both market maker and agents
Articolo in rivista - Articolo scientifico
Mathematical economics, Chaos, Heterogeneous interacting agents, Financial markets
English
171
180
Naimzada, A., & Ricchiuti, G. (2008). Heterogeneous Fundamentalists and Imitative processes. APPLIED MATHEMATICS AND COMPUTATION, 199(1), 171-180 [10.1016/j.amc.2007.09.061].
Naimzada, A; Ricchiuti, G
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/6799
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