We analyze a financial market model with heterogeneous interacting agents where fundamentalists and chartists are considered. We assume that fundamentalists are homogeneous in their trading strategy but heterogeneous in their belief about the asset’s fundamental value. On the other hand, we consider that chartists, when they are optimistic become overconfident and they trade more than when they are pessimistic. Consequently, our model dynamics are driven by a one-dimensional piecewise-linear continuous map with three linear branches. We investigate the bifurcation structures in the map’s parameter space and describe the endogenous fear and greed market dynamics arising from our asset-pricing model.

Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach / Campisi, G.; Muzzioli, S.; Tramontana, F.. - In: DECISIONS IN ECONOMICS AND FINANCE. - ISSN 1593-8883. - 44:2(2021), pp. 707-726. [10.1007/s10203-021-00346-7]

Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach

Campisi G.;Muzzioli S.;
2021

Abstract

We analyze a financial market model with heterogeneous interacting agents where fundamentalists and chartists are considered. We assume that fundamentalists are homogeneous in their trading strategy but heterogeneous in their belief about the asset’s fundamental value. On the other hand, we consider that chartists, when they are optimistic become overconfident and they trade more than when they are pessimistic. Consequently, our model dynamics are driven by a one-dimensional piecewise-linear continuous map with three linear branches. We investigate the bifurcation structures in the map’s parameter space and describe the endogenous fear and greed market dynamics arising from our asset-pricing model.
2021
44
2
707
726
Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach / Campisi, G.; Muzzioli, S.; Tramontana, F.. - In: DECISIONS IN ECONOMICS AND FINANCE. - ISSN 1593-8883. - 44:2(2021), pp. 707-726. [10.1007/s10203-021-00346-7]
Campisi, G.; Muzzioli, S.; Tramontana, F.
File in questo prodotto:
File Dimensione Formato  
Campisi2021_Article_UncertaintyAboutFundamentalPes.pdf

Accesso riservato

Tipologia: Versione pubblicata dall'editore
Dimensione 1.55 MB
Formato Adobe PDF
1.55 MB Adobe PDF   Visualizza/Apri   Richiedi una copia
Pubblicazioni consigliate

Licenza Creative Commons
I metadati presenti in IRIS UNIMORE sono rilasciati con licenza Creative Commons CC0 1.0 Universal, mentre i file delle pubblicazioni sono rilasciati con licenza Attribuzione 4.0 Internazionale (CC BY 4.0), salvo diversa indicazione.
In caso di violazione di copyright, contattare Supporto Iris

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/1254262
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 4
  • ???jsp.display-item.citation.isi??? 4
social impact