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Analysis of a Heterogeneous Trader Model for Asset Price Dynamics
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-10-12
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
We examine an asset pricing model of Westerhoff (2005).
The model incorporates heterogeneous beliefs among traders, specifically fundamentalists and trend-chasing chartists.
The form of the model is shown here to be a nonlinear planar map.
Since it contains a single parameter, the model may be considered the simplest effective model yet derived for financial asset pricing with heterogeneous trading.
Analysis of the map yields results for stability and bifurcations of fixed points and periodic orbits.
The model has intricate attractor basin behavior and global bifurcations to chaos: symmetric homoclinic bifurcation and boundary crisis.
American Psychological Association (APA)
Foster, Andrew& Kirby, Natasha. 2011. Analysis of a Heterogeneous Trader Model for Asset Price Dynamics. Discrete Dynamics in Nature and Society،Vol. 2011, no. 2011, pp.1-12.
https://search.emarefa.net/detail/BIM-462387
Modern Language Association (MLA)
Foster, Andrew& Kirby, Natasha. Analysis of a Heterogeneous Trader Model for Asset Price Dynamics. Discrete Dynamics in Nature and Society No. 2011 (2011), pp.1-12.
https://search.emarefa.net/detail/BIM-462387
American Medical Association (AMA)
Foster, Andrew& Kirby, Natasha. Analysis of a Heterogeneous Trader Model for Asset Price Dynamics. Discrete Dynamics in Nature and Society. 2011. Vol. 2011, no. 2011, pp.1-12.
https://search.emarefa.net/detail/BIM-462387
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-462387