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Effects of contrarian investor type in asset price dynamics. (English) Zbl 1175.91074
Summary: We develop an asset pricing model based on the interaction of heterogeneous trading groups. In addition to the two main trader groups, fundamentalists and trend-chasing chartists, we include a third significant group known as contrarian chartists. We model the case of opportunistic contrarian behavior, where the contrarian group disagrees with the trend-chasing chartists only when the return differential is high. We also consider absolute contrarian behavior, in which the contrarians consistently disagree with trend-chasers. The models are nonlinear planar maps, exhibiting period doubling, Neimark-Sacker and global bifurcations leading to local chaotic behavior. Absolute contrarian behavior is found to have a moderating effect on price change, while opportunistic contrarian behavior is found to further complicate the price cycles present in other models.
MSC:
91B25Asset pricing models
37E30Homeomorphisms and diffeomorphisms of planes and surfaces
37D45Strange attractors, chaotic dynamics
37G10Bifurcations of singular points