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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.
91B25Asset pricing models
37E30Homeomorphisms and diffeomorphisms of planes and surfaces
37D45Strange attractors, chaotic dynamics
37G10Bifurcations of singular points
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