- About this Journal
- Abstracting and Indexing
- Aims and Scope
- Annual Issues
- Article Processing Charges
- Articles in Press
- Author Guidelines
- Bibliographic Information
- Citations to this Journal
- Contact Information
- Editorial Board
- Editorial Workflow
- Free eTOC Alerts
- Publication Ethics
- Reviewers Acknowledgment
- Submit a Manuscript
- Subscription Information
- Table of Contents
Discrete Dynamics in Nature and Society
Volume 2011 (2011), Article ID 309572, 12 pages
Analysis of a Heterogeneous Trader Model for Asset Price Dynamics
1Department of Mathematics and Statistics, Memorial University of Newfoundland, St. John's, NL, A1C 5S7, Canada
2Department of Applied Mathematics, University of Western Ontario, London, ON, N6A 5B7, Canada
Received 27 June 2011; Accepted 22 July 2011
Academic Editor: Ugurhan Mugan
Copyright © 2011 Andrew Foster and Natasha Kirby. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
- W. A. Brock and C. H. Hommes, “A rational route to randomness,” Econometrica, vol. 65, no. 5, pp. 1059–1095, 1997.
- W. A. Brock and C. H. Hommes, “Heterogeneous beliefs and routes to chaos in a simple asset pricing model,” Journal of Economic Dynamics & Control, vol. 22, no. 8-9, pp. 1235–1274, 1998.
- W. A. Brock, C. H. Hommes, and F. O. O. Wagener, “Evolutionary dynamics in markets with many trader types,” Journal of Mathematical Economics, vol. 41, no. 1-2, pp. 7–42, 2005.
- C. Chiarella, R. Dieci, and L. Gardini, “Asset price dynamics in a financial market with fundamentalists and chartists,” Discrete Dynamics in Nature and Society, vol. 6, pp. 69–99, 2001.
- C. Chiarella, R. Dieci, and L. Gardini, “Speculative behaviour and complex asset price dynamics: a global analysis,” Journal of Economic Behavior and Organization, vol. 49, no. 2, pp. 173–197, 2002.
- C. Chiarella, R. Dieci, and L. Gardini, “Asset price and wealth dynamics in a financial market with heterogeneous agents,” Journal of Economic Dynamics & Control, vol. 30, no. 9-10, pp. 1755–1786, 2006.
- C. Chiarella, M. Gallegati, R. Leombruni, and A. Palestrini, “Asset price dynamics among heterogeneous interacting agents,” Computational Economics, vol. 22, no. 2-3, pp. 213–223, 2003.
- C. Chiarella and X.-Z. He, “Asset price and wealth dynamics under heterogeneous expectations,” Quantitative Finance, vol. 1, no. 5, pp. 509–526, 2001.
- C. Chiarella and X.-Z. He, “Heterogeneous beliefs, risk and learning in a simple asset pricing model,” Computational Economics, vol. 19, no. 1, pp. 95–132, 2002.
- C. Chiarella and X. Z. He, “Heterogeneous beliefs, risk, and learning in a simple asset-pricing model with a market maker,” Macroeconomic Dynamics, vol. 7, no. 4, pp. 503–536, 2003.
- R. Dieci and F. Westerhoff, “Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates,” Journal of Economic Dynamics & Control, vol. 34, no. 4, pp. 743–764, 2010.
- A. Gaunersdorfer, C. H. Hommes, and F. O. O. Wagener, “Bifurcation routes to volatility clustering under evolutionary learning,” Journal of Economic Behavior and Organization, vol. 67, no. 1, pp. 27–47, 2008.
- X.-Z. He and Y. Li, “Heterogeneity, convergence, and autocorrelations,” Quantitative Finance, vol. 8, no. 1, pp. 59–79, 2008.
- N. Kirby and A. Foster, “Effects of contrarian investor type in asset price dynamics,” International Journal of Bifurcation and Chaos, vol. 19, no. 8, pp. 2463–2472, 2009.
- F. Tramontana, F. Westerhoff, and L. Gardini, “On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders,” Journal of Economic Behavior and Organization, vol. 74, no. 3, pp. 187–205, 2010.
- J. Tuinstra and F. O. O. Wagener, “On learning equilibria,” Economic Theory, vol. 30, no. 3, pp. 493–513, 2007.
- F. H. Westerhoff, “Heterogeneous traders, price-volume signals, and complex asset price dynamics,” Discrete Dynamics in Nature and Society, vol. 2005, no. 1, pp. 19–29, 2005.
- C. Chiarella, R. Dieci, and X.-Z. He, “Heterogeneity, market mechanisms, and asset price dynamics,” in Handbook of Financial Markets: Dynamics and Evolution, T. Hens and K. R. Schenk-Hopp'e, Eds., pp. 277–344, North-Holland, Amsterdam, The Netherlands, 2009.
- C. H. Hommes, “Heterogeneous agent models in economics and finance,” in Handbook of Computational Economics, L. Tesfatsion and K. Judd, Eds., vol. 2 of Agent-Based Computational Economics, pp. 1109–1186, North-Holland, Amsterdam, The Netherlands, 2006.
- F. Westerhoff, “Exchange rate dynamics: a nonlinear survey,” in Handbook of Research on Complexity, J. B. Rosser Jr. and K. L. Cramer, Eds., pp. 287–325, Edward Elgar, Cheltenham, UK, 2009.
- A. Medio and M. Lines, Nonlinear Dynamics: A Primer, Cambridge University Press, Cambridge, UK, 2001.
- J. Guckenheimer and P. Holmes, Nonlinear Oscillations, Dynamical Systems, and Bifurcations of Vector Fields, vol. 42 of Applied Mathematical Sciences, Springer, New York, NY, USA, 1983.
- Y. A. Kuznetsov, Elements of Applied Bifurcation Theory, vol. 112 of Applied Mathematical Sciences, Springer, New York, NY, USA, 3rd edition, 2004.
- R. H. Abraham, L. Gardini, and C. Mira, Chaos in Discrete Dynamical Systems, Springer, New York, NY, USA, 1997.
- B. Xin, T. Chen, and J. Ma, “Neimark-Sacker bifurcation in a discrete-time financial system,” Discrete Dynamics in Nature and Society, vol. 2010, Article ID 405639, 12 pages, 2010.
- Y. A. Kuznetsov and S. Rinaldi, “Numerical analysis of the flip bifurcation of maps,” Applied Mathematics and Computation, vol. 43, no. 3, pp. 231–236, 1991.
- D. G. Aronson, M. A. Chory, G. R. Hall, and R. P. McGehee, “Bifurcations from an invariant circle for two-parameter families of maps of the plane: a computer-assisted study,” Communications in Mathematical Physics, vol. 83, no. 3, pp. 303–354, 1982.
- R. Herrero, J. Farjas, R. Pons, F. Pi, and G. Orriols, “Gluing bifurcations in optothermal nonlinear devices,” Physical Review E, vol. 57, no. 5, pp. 5366–5377, 1998.
- C. Grebogi, E. Ott, and J. A. Yorke, “Crises, sudden changes in chaotic attractors, and transient chaos,” Physica D, vol. 7, no. 1–3, pp. 181–200, 1983.