Dynamic Effects of Increasing Heterogeneity in Financial Markets
Developing a model in which heterogeneity arises among two groups of fundamentalists that follow gurus, we focus on the dynamic effects of increasing heterogeneity. We show that an increasing degree of heterogeneity leads firstly (i) to insurgence of a pitchfork bifurcation and, secondly (ii) generates, together with a larger reaction to misalignment of both market makers and agents, the appearance of a periodic, or even, chaotic, price fluctuation (trough an homoclinic bifurcation, ).
|Date of creation:||2007|
|Date of revision:||2007|
|Contact details of provider:|| Postal: |
Phone: +39 02 6448 3089
Fax: +39 02 6448 3085
Web page: http://dems.unimib.it
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Xue-Zhong He & Frank H. Westerhoff, 2004.
"Commodity Markets, Price Limiters and Speculative Price Dynamics,"
Research Paper Series
136, Quantitative Finance Research Centre, University of Technology, Sydney.
- He, Xue-Zhong & Westerhoff, Frank H., 2005. "Commodity markets, price limiters and speculative price dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1577-1596, September.
- Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "A Behavioural Asset Pricing Model with a Time-Varying Second Moment," Research Paper Series 141, Quantitative Finance Research Centre, University of Technology, Sydney.
- Ahmad Naimzada & Giorgio Ricchiuti, 2006. "Heterogeneous Fundamentalists and Imitative Processes," Working Papers 104, University of Milano-Bicocca, Department of Economics, revised Nov 2006.
- Day, R. & Huang, W., 1988.
"Bulls, Bears And Market Sheep,"
m8822, Southern California - Department of Economics.
- 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.
- Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2005.
"Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework,"
Research Paper Series
166, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chiarella, Carl & Dieci, Roberto & He, Xue-Zhong, 2007. "Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework," Journal of Economic Behavior & Organization, Elsevier, vol. 62(3), pages 408-427, March.
- 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.
- Carl Chiarella & Roberto Dieci & Laura Gardini, 2001. "Speculative Behaviour and Complex Asset Price Dynamics," Research Paper Series 49, Quantitative Finance Research Centre, University of Technology, Sydney.
- Taisei Kaizoji, 2003. "Speculative bubbles and fat tail phenomena in a heterogeneous agent model," Papers nlin/0312040, arXiv.org.
When requesting a correction, please mention this item's handle: RePEc:mib:wpaper:111. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Matteo Pelagatti)
If references are entirely missing, you can add them using this form.