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a simple financial market model with chartists and fundamentalists market entry levels and discontinuities：一个宪章派和原教旨主义的市场准入水平和结构简单的金融市场模型
Available online at
Mathematics and Computers in Simulation 108 (2015) 16–40
Original article
A simple financial market model with chartists and fundamentalists:
Market entry levels and discontinuities
Fabio Tramontana a,∗, Frank Westerhoffb , Laura Gardini c
a Department of Economics and Management, University of Pavia, Italy
b Department of Economics, University of Bamberg, Germany
c Department of Economics, Society and Politics, University of Urbino, Italy
Received 8 March 2013; received in revised form 9 June 2013; accepted 22 June 2013
Available online 12 July 2013
Abstract
We present a simple financial market model with interacting chartists and fundamentalists. Since some speculators only become
active when a certain misalignment level has been crossed, the model dynamics is driven by a discontinuous piecewise linear map.
Recent mathematical techniques allow a comprehensive study of the model’s dynamical system. One of its surprising features
is that model simulations may appear to be chaotic, although only regular dynamics can emerge. While our deterministic model
is able to produce stylized bubbles and crashes we also show that a stochastic version of our model is able to match the finer
details of financial market dynamics.
© 2013 IMACS. Published by Elsevier B.V. All rights reserved.
Keywords: Financial market crisis; Bull and bear market dynamics; Discontinuous piecewise linear maps; Border-collision bifurcations; Periodadding
scheme
1. Introduction
Our paper seeks to add to the burgeoning literature on agent-based financial market
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