Open AccessSpeculative behavior and chaotic asset price dynamics: On the emergence of a bandcount accretion bifurcation structure
Author(s) -
Anastasiia Panchuk,
Frank Westerhoff
Publication year - 2021
Publication title -
discrete and continuous dynamical systems. series b
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.864
H-Index - 53
eISSN - 1553-524X
pISSN - 1531-3492
DOI - 10.3934/dcdsb.2021117
Subject(s) - attractor , homoclinic orbit , bifurcation , chaotic , homoclinic bifurcation , statistical physics , asset (computer security) , mathematics , physics , economics , mathematical analysis , computer science , nonlinear system , quantum mechanics , management , computer security
We study a simple financial market model with interacting chartists and fundamentalists that may give rise to multiband chaotic attractors. In particular, asset prices fluctuate erratically around their fundamental values, displaying a significant bull and bear market behavior. An in-depth analytical and numerical study of our model furthermore reveals the emergence of a new bifurcation structure, a phenomenon that we call a bandcount accretion bifurcation structure. The latter consists of regions associated with chaotic dynamics only, the boundaries of which are not defined by homoclinic bifurcations, but mainly by contact bifurcations of particular type where two distinct critical points of certain ranks coincide.