On the limits of informationally efficient stock markets: New insights from a chartist-fundamentalist model
通过图表分析师与基本面分析师交互模型，发现股票市场可能共存两种定价偏差模式：恒定偏差或振荡偏差，并识别出一种新型“怪异准周期吸引子”，模型在动态噪声下能复现股票市场典型特征。
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 two-dimensional 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.