On the limits of informationally efficient stock markets: New insights from a chartist-fundamentalist model

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F25%3A10258014" target="_blank" >RIV/61989100:27510/25:10258014 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S105752192500523X?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S105752192500523X?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.irfa.2025.104436" target="_blank" >10.1016/j.irfa.2025.104436</a>

Result language
angličtina
Original language name
On the limits of informationally efficient stock markets: New insights from a chartist-fundamentalist model
Original language description
We utilize a chartist-fundamentalist model to examine the limits of informationally efficient stock markets. In this model, chartists are permanently active in the stock market, while fundamentalists trade only when their mispricing-dependent trading signals are sufficiently strong. As a result, the model dynamics are driven by a twodimensional piecewise-linear discontinuous map. Our findings suggest the possible coexistence of two distinct regimes. Depending on the initial conditions, the stock market may exhibit either constant or oscillatory mispricing. Constant mispricing occurs when chartists remain the sole active speculators, causing the stock price to converge toward a nonfundamental value. Conversely, the stock price oscillates around its fundamental value when fundamentalists repeatedly enter and exit the market. Interestingly, these oscillatory dynamics are associated with a new type of attractor, termed a "weird quasiperiodic attractor". When subjected to dynamic noise, our model reproduces several important stylized facts of stock markets and can thus be considered validated.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50200 - Economics and Business

Project
<a href="/en/project/GA22-28882S" target="_blank" >GA22-28882S: Interaction between Financial Markets and Real Sector: Modeling, Experiments, and Policy</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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