In this note, we report a result not recognized in the model analyzed in Naimzada and Ricchiuti (2009): heterogeneity may have an ambiguous role in the complex dynamics. Indeed, given high reactivity of either market maker or agents, an increasing heterogeneity initially stabilizes the price (through a subcritical period two cycle) and then it destabilizes the price (initially through a pitchfork bifurcation). Moreover, we define better the structure of beliefs, highlighting their position in comparison with a unique (not observed) fundamental value and assuming that agents are pure biased traders.

A Note on Biased Fundamentalists / A. K. Naimzada; G. Ricchiuti. - In: CHAOS, SOLITONS AND FRACTALS. - ISSN 0960-0779. - STAMPA. - 45:(2012), pp. 224-228. [10.1016/j.chaos.2011.12.007]

A Note on Biased Fundamentalists

RICCHIUTI, GIORGIO
2012

Abstract

In this note, we report a result not recognized in the model analyzed in Naimzada and Ricchiuti (2009): heterogeneity may have an ambiguous role in the complex dynamics. Indeed, given high reactivity of either market maker or agents, an increasing heterogeneity initially stabilizes the price (through a subcritical period two cycle) and then it destabilizes the price (initially through a pitchfork bifurcation). Moreover, we define better the structure of beliefs, highlighting their position in comparison with a unique (not observed) fundamental value and assuming that agents are pure biased traders.
2012
45
224
228
A. K. Naimzada; G. Ricchiuti
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Utilizza questo identificatore per citare o creare un link a questa risorsa: https://hdl.handle.net/2158/588711
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