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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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 &quot;weird quasiperiodic attractor&quot;. When subjected to dynamic noise, our model reproduces several important stylized facts of stock markets and can thus be considered validated.

Název v anglickém jazyce

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

Popis výsledku anglicky

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 &quot;weird quasiperiodic attractor&quot;. When subjected to dynamic noise, our model reproduces several important stylized facts of stock markets and can thus be considered validated.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

<a href="/cs/project/GA22-28882S" target="_blank" >GA22-28882S: Interakce mezi finančními trhy a reálným sektorem: Modelování, experimenty a politika</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

International review of financial analysis

ISSN

1057-5219

e-ISSN

1873-8079

Svazek periodika

105

Číslo periodika v rámci svazku

September

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

20

Strana od-do

104436

Kód UT WoS článku

001526785900001

EID výsledku v databázi Scopus

2-s2.0-105009512622