EFFECTS OF CONTRARIAN INVESTOR TYPE IN ASSET PRICE DYNAMICS

DOI10.1142/S0218127409024244MaRDI QIDQ3647679zbMATH OpenOpenAlexFDO

Authors Natasha Kirby, Andrew D. Foster

Publication date 23 November 2009

Published in International Journal of Bifurcation and Chaos in Applied Sciences and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0218127409024244

zbMATH Keywords

bifurcationchaotic dynamicsasset pricingheterogeneous beliefsinteracting agentsnoninvertible maps

Mathematics Subject Classification ID

Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45) Dynamical systems involving homeomorphisms and diffeomorphisms of planes and surfaces (37E30) Bifurcations of singular points in dynamical systems (37G10)

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Cites work

• A Rational Route to Randomness
• Asset price and wealth dynamics in a financial market with heterogeneous agents
• Asset price dynamics in a financial market with fundamentalists and chartists
• Evolutionary dynamics in markets with many trader types
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Heterogeneous beliefs, risk and learning in a simple asset pricing model
• Heterogeneous traders, price-volume signals, and complex asset price dynamics

Cited in

(4)

• A robust measure of investor contrarian behaviour
• scientific article; zbMATH DE number 5524747 (Why is no real title available?)
• Study on transformation between momentum and contrarian effect based on fractal market theory
• Analysis of a heterogeneous trader model for asset price dynamics

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