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The complexity of an investment competition dynamical model with imperfect information in a security market

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  • Xin, Baogui
  • Ma, Junhai
  • Gao, Qin

Abstract

We present a nonlinear discrete dynamical model of investment competition with imperfect information for N heterogeneous oligopolists in a security market. In this paper, our focus is on a given three-dimensional model which exhibits highly rich dynamical behaviors. Based on Wen’s Hopf bifurcation criterion [Wen GL. Criterion to identify Hopf bifurcations in maps of arbitrary dimension. Phys Rev E 2005;72:026201–3; Wen GL, Xu DL, Han X. On creation of Hopf bifurcations in discrete-time nonlinear systems. Chaos 2002;12(2):350–5] and Kuznetsov’s normal form theory [Kuznetsov YA. Elements of applied bifurcation theory. New York: Springer-Verlag; 1998. p. 125–37], we study the model’s stability, criterion and direction of Neimark–Sacker bifurcation. Moreover, we numerically simulate a complexity evolution route: fixed point, closed invariant curve, double closed invariant curves, fourfold closed invariant curves, strange attractor, period-3 closed invariant curve, period-3 2-tours, period-4 closed invariant curve, period-4 2-tours.

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  • Xin, Baogui & Ma, Junhai & Gao, Qin, 2009. "The complexity of an investment competition dynamical model with imperfect information in a security market," Chaos, Solitons & Fractals, Elsevier, vol. 42(4), pages 2425-2438.
    • Handle: RePEc:eee:chsofr:v:42:y:2009:i:4:p:2425-2438
    DOI: 10.1016/j.chaos.2009.03.110
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    References listed on IDEAS

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    1. Agiza, H.N. & Elsadany, A.A., 2003. "Nonlinear dynamics in the Cournot duopoly game with heterogeneous players," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 320(C), pages 512-524.
    2. Wu, Wenjuan & Chen, Zengqiang & Yuan, Zhuzhi, 2009. "The evolution of a novel four-dimensional autonomous system: Among 3-torus, limit cycle, 2-torus, chaos and hyperchaos," Chaos, Solitons & Fractals, Elsevier, vol. 39(5), pages 2340-2356.
    3. Puu, Tönu & Marín, Manuel Ruíz, 2006. "The dynamics of a triopoly Cournot game when the competitors operate under capacity constraints," Chaos, Solitons & Fractals, Elsevier, vol. 28(2), pages 403-413.
    4. Nabih Agiza, Hamdy & Italo Bischi, Gian & Kopel, Michael, 1999. "Multistability in a dynamic Cournot game with three oligopolists," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 51(1), pages 63-90.
    5. Agiza, H.N. & Hegazi, A.S. & Elsadany, A.A., 2002. "Complex dynamics and synchronization of a duopoly game with bounded rationality," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 58(2), pages 133-146.
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    Cited by:

    1. Baogui Xin & Tong Chen & Junhai Ma, 2010. "Neimark-Sacker Bifurcation in a Discrete-Time Financial System," Discrete Dynamics in Nature and Society, Hindawi, vol. 2010, pages 1-12, September.
    2. Shoji, Isao & Nozawa, Masahiro, 2022. "Geometric analysis of nonlinear dynamics in application to financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).
    3. Baogui Xin & Zhiheng Wu, 2015. "Neimark–Sacker Bifurcation Analysis and 0–1 Chaos Test of an Interactions Model between Industrial Production and Environmental Quality in a Closed Area," Sustainability, MDPI, vol. 7(8), pages 1-19, July.

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