Stability and bifurcation in a simple heterogeneous asset pricing model精品.pdfVIP

Economic Modelling 26 (2009) 680–688 Contents lists available at ScienceDirect Economic Modelling j ournal homepage: ww w.elsevier. com/ locate/ econbase Stability and bifurcation in a simple heterogeneous asset pricing model Xiaoling Ke ⁎, Ke Shi College of Mathematics and System Sciences, Xinjiang University, Urumqi, Xinjiang 830046, Peoples Republic of China a r t i c l e i n f o a b s t r a c t Article history: Stability and bifurcation analysis of deterministic systems has been widely used in modeling financial Accepted 22 January 2009 markets. We develop a simple pricing model with two types of rational traders, fundamentalists and chartists, in order to study well price behavior in financial markets, we use student t distribution to replace Keywords: traditional normal distribution to describe fundamental price process. We study the stability and bifurcation Asset pricing of the underling deterministic system and use numerical simulation to study the dynamic of the stochastic Heterogeneous beliefs Stability system, including autocorrelations structures and high kurtosis of the returns. It is found that the Bifurcation fundamental price becomes stable (unstable) when the activities from both types of traders are balanced Autocorrelations (u