The Inherent Law of the Unpredictability of Financial Asset Price Fluctuations: Multistability and Chaos  

作　　者：GU Enguo 

机构地区：[1]Huanghe University of Science and Technology,Zhengzhou 450006,China

出　　处：《Journal of Systems Science & Complexity》2024年第2期776-804,共29页系统科学与复杂性学报（英文版）

基　　金：supported by the Fundamental Research Funds for the Central Universities,South-Central Minzu University under Grant No. CZT20006

摘　　要：This paper aims at understanding the price dynamics generated by the interaction of traders relying on heterogeneous expectations in an asset pricing model.In the present work the authors analyze a financial market populated by five types of boundedly rational speculators-two types of fundamentalists,two types of chartists and trend followers which submit buying/selling orders according to different trading rules.The authors formulate a stock market model represented as a 2 dimensional piecewise linear discontinuous map.The proposed contribution to the existing financial literature is two aspects.First,the authors perform study of the model involving a 2 dimensional piecewise linear discontinuous map through a combination of qualitative and quantitative methods.The authors focus on the existence conditions of chaos and the multi-stability regions in parameter plane.Related border collision bifurcation curves and basins of multi-attractors are also given.The authors find that chaos or quasi-period exists only in the case of fixed point being a saddle(regular or flip)and that the coexistence of multiple attractors may exist when the fixed point is an attractor,but it is common for spiral and flip fixed points.

关 键 词：BCB curve CHAOS financial market heterogeneous agents multiple attractors piecewise linear discontinuous map 

分 类 号：F830[经济管理—金融学]