| Nonlinear Dynamics, Psychology, and Life Sciences, Vol. 6, Iss. 2, Apr, 2002, pp. 217-229 @2002 Society for Chaos Theory in Psychology & Life Sciences Speculative Price Dynamics in a Heterogeneous Agent Model Abstract: This paper proposes an agent model of financial markets and analyzes factors leading to speculative bubbles and speculative chaos of the asset price. A financial market is thought to contain two typical types of traders: fundamentalists and chartists who try to maximize their utility. It is shown that the nonlinearity of the excess demand functions, which are derived as a result of the traders’ utility maximization, might generate speculative bubbles and speculative chaos of the asset price. Keywords: speculative bubble, chaos, market, heterogeneous agent, utility |