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Heterogeneous Speculators and Asset Price Dynamics: Further Results from a One-Dimensional Discontinuous Piecewise-Linear Map

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  • Fabio Tramontana
  • Laura Gardini
  • Frank Westerhoff

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  • Fabio Tramontana & Laura Gardini & Frank Westerhoff, 2011. "Heterogeneous Speculators and Asset Price Dynamics: Further Results from a One-Dimensional Discontinuous Piecewise-Linear Map," Computational Economics, Springer;Society for Computational Economics, vol. 38(3), pages 329-347, October.
    • Handle: RePEc:kap:compec:v:38:y:2011:i:3:p:329-347
    DOI: 10.1007/s10614-011-9284-9
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    1. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    2. Day, Richard H. & Huang, Weihong, 1990. "Bulls, bears and market sheep," Journal of Economic Behavior & Organization, Elsevier, vol. 14(3), pages 299-329, December.
    3. Westerhoff, Frank H. & Dieci, Roberto, 2006. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
    4. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Franke, Reiner, 2009. "A prototype model of speculative dynamics with position-based trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1134-1158, May.
    6. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
    7. Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002. "Speculative behaviour and complex asset price dynamics: a global analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 173-197, October.
    8. Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2010. "On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders," Journal of Economic Behavior & Organization, Elsevier, vol. 74(3), pages 187-205, June.
    9. J. Barkley Rosser Jr. (ed.), 2009. "Handbook of Research on Complexity," Books, Edward Elgar Publishing, number 3625, March.
    10. Lux, Thomas, 2006. "Financial power laws: Empirical evidence, models, and mechanism," Economics Working Papers 2006-12, Christian-Albrechts-University of Kiel, Department of Economics.
    11. Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007. "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1938-1970, June.
    12. Huang, Weihong & Zheng, Huanhuan & Chia, Wai-Mun, 2010. "Financial crises and interacting heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1105-1122, June.
    13. Frank Westerhoff & Reiner Franke, 2012. "Converse trading strategies, intrinsic noise and the stylized facts of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 425-436, June.
    14. Cars Hommes & Joep Sonnemans & Jan Tuinstra & Henk van de Velden, 2005. "Coordination of Expectations in Asset Pricing Experiments," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 955-980.
    15. Hens, Thorsten & Schenk-Hoppe, Klaus Reiner (ed.), 2009. "Handbook of Financial Markets: Dynamics and Evolution," Elsevier Monographs, Elsevier, edition 1, number 9780123742582.
    16. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    17. Hommes, C.H. & Wagener, F.O.O., 2008. "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers 08-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    18. Richard Day, 1997. "Complex Dynamics, Market Mediation and Stock Price Behavior," North American Actuarial Journal, Taylor & Francis Journals, vol. 1(3), pages 1-16.
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    Citations

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    Cited by:

    1. Bekiros, Stelios & Laarem, Guessas & Mou, Jun & Al-Barakati, Abdullah A. & Jahanshahi, Hadi, 2023. "Heterogeneous agent-based modeling of endogenous boom-bust cycles in financial markets with adaptive expectations and dynamically switching fractions between contrarian and fundamental market entry st," Chaos, Solitons & Fractals, Elsevier, vol. 170(C).
    2. Radi, Davide & Gardini, Laura & Avrutin, Viktor, 2014. "The role of constraints in a segregation model: The symmetric case," Chaos, Solitons & Fractals, Elsevier, vol. 66(C), pages 103-119.
    3. Jungeilges, Jochen & Maklakova, Elena & Perevalova, Tatyana, 2021. "Asset price dynamics in a “bull and bear market”," Structural Change and Economic Dynamics, Elsevier, vol. 56(C), pages 117-128.
    4. Fabio Dercole & Davide Radi, 2014. "Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics," Papers 1405.7747, arXiv.org.
    5. Brianzoni, Serena & Campisi, Giovanni, 2020. "Dynamical analysis of a financial market with fundamentalists, chartists, and imitators," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).
    6. Ingrid Kubin & Laura Gardini, 2013. "Border collision bifurcations in boom and bust cycles," Journal of Evolutionary Economics, Springer, vol. 23(4), pages 811-829, September.
    7. Grosche, Stephanie, 2012. "Limitations of Granger Causality Analysis to assess the price effects from the financialization of agricultural commodity markets under bounded rationality," Discussion Papers 121868, University of Bonn, Institute for Food and Resource Economics.
    8. Jochen Jungeilges & Elena Maklakova & Tatyana Perevalova, 2022. "Stochastic sensitivity of bull and bear states," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 165-190, January.
    9. Radi, Davide & Gardini, Laura, 2015. "Entry limitations and heterogeneous tolerances in a Schelling-like segregation model," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 130-144.
    10. Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013. "The bull and bear market model of Huang and Day: Some extensions and new results," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2351-2370.
    11. Cafferata, Alessia & Tramontana, Fabio, 2019. "A financial market model with confirmation bias," Structural Change and Economic Dynamics, Elsevier, vol. 51(C), pages 252-259.
    12. Ansori, Moch. Fandi & Brianzoni, Serena & Campisi, Giovanni, 2024. "Bifurcations and complex dynamics in a banking duopoly model with macroprudential policy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 641(C).
    13. Sushko, Iryna & Gardini, Laura & Matsuyama, Kiminori, 2014. "Superstable credit cycles and U-sequence," Chaos, Solitons & Fractals, Elsevier, vol. 59(C), pages 13-27.
    14. Dercole, Fabio & Radi, Davide, 2020. "Does the “uptick rule” stabilize the stock market? Insights from adaptive rational equilibrium dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 130(C).

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