Analysis of a Heterogeneous Trader Model for Asset Price Dynamics | Zendy

Andrew Foster | Zendy; Natasha Kirby | Zendy

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Analysis of a Heterogeneous Trader Model for Asset Price Dynamics

Author(s) -

Andrew Foster,

Natasha Kirby

Publication year - 2011

Publication title -

discrete dynamics in nature and society

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.264

H-Index - 39

eISSN - 1607-887X

pISSN - 1026-0226

DOI - 10.1155/2011/309572

Subject(s) - homoclinic orbit , attractor , nonlinear system , asset (computer security) , bifurcation , homoclinic bifurcation , stability (learning theory) , boundary (topology) , capital asset pricing model , economics , mathematics , computer science , econometrics , mathematical economics , mathematical analysis , physics , computer security , quantum mechanics , machine learning

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

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