Analysis of a Heterogeneous Trader Model for Asset Price Dynamics

Andrew Foster and Natasha Kirby

Discrete Dynamics in Nature and Society, 2011, vol. 2011, 1-12

Abstract:

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.

Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/DDNS/2011/309572.pdf (application/pdf)
http://downloads.hindawi.com/journals/DDNS/2011/309572.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:309572

DOI: 10.1155/2011/309572

Access Statistics for this article

More articles in Discrete Dynamics in Nature and Society from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().