Opening book details…
Can I read Dynamic Effects of Increasing Heterogeneity in Financial Markets on EtoBox?
Dynamic Effects of Increasing Heterogeneity in Financial Markets by Ahmad K. Naimzada; Giorgio Ricchiuti is a Physics and Astronomy article available to read on EtoBox.
What is Dynamic Effects of Increasing Heterogeneity in Financial Markets about?
that use different types of agents (i.e., fundamentalist vs. chartists), we develop a model in which the source of instability is the interaction of groups that are homogeneous in the strategy they use, but have heterogeneous beliefs about the fundamental value of the asset. Specifically, heterogeneity arises among two groups of fundamentalists that follow gurus. We show that an increasing distance between beliefs (the degree of heterogeneity), leads first (i) to a pitchfork bifurcation to arise secondly (ii) it generates, together with a larger reaction to misalignment of both market maker and agents, the appearance of a periodic, or even, chaotic, price fluctuation; (iii) finally a homoclinic bifurcation [Dieci R, Bischi GI, Gardini L. From bi-stability to chaotic oscillations in a macroeconomic model. Chaos, Solitons & Fractals 2001;12:805-22] transforms a two piece chaotic set into a one piece chaotic set that generates bull and bear markets.
Who reads Dynamic Effects of Increasing Heterogeneity in Financial Markets?
It is typically read by researchers, students, and practitioners in Physics and Astronomy.
- Author
- Ahmad K. Naimzada; Giorgio Ricchiuti
- Publisher
- Elsevier Science; Elsevier ; Elsevier Ltd.; Elsevier BV (ISSN 0960-0779)
- Published
- 2009
- Language
- EN
- Field
- Physics and Astronomy (Physical Sciences)