Yayınlanmış 1 Ocak 2016
| Sürüm v1
Dergi makalesi
Açık
BIFURCATION ANALYSIS OF A SINGLE-GROUP ASSET FLOW MODEL
Oluşturanlar
- 1. Univ Pittsburgh, Dept Math, Pittsburgh, PA 15260 USA
Açıklama
We study the stability and Hopf bifurcation analysis of an asset pricing model that is based on the model introduced by Caginalp and Balenovich, under the assumption of a fixed amount of cash and stock in the system. First, we analyze stability of equilibrium points. Choosing the momentum coefficient as a bifurcation parameter, we also show that Hopf bifurcation occurs when the bifurcation parameter passes through a critical value. Analytical results are supported by numerical simulations. A key conclusion for economics and finance is the existence of periodic solutions in the absence of exogenous factors for an interval of the bifurcation parameter, which is the trend-based (or momentum) coefficient.
Dosyalar
bib-08d8797f-a58f-4d83-9001-962ae629ed5c.txt
Dosyalar
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