Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/1675
Title: Bifurcation Analysis of a Single-Group Asset Flow Model
Authors: Merdan, Hüseyin
Caginalp, G.
Troy, W. C.
Keywords: Asset price dynamics
stability of price dynamics
Hopf bifurcation
price trend
momentum
market dynamics
liquidity
periodic solutions
Publisher: American Mathematical Society
Source: Merdan, H., Caginalp, G., & Troy, W. (2016). Bifurcation analysis of a single-group asset flow model. Available at SSRN 2768610.
Abstract: 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.
URI: https://doi.org/10.1090/qam/1418 
https://hdl.handle.net/20.500.11851/1675
ISSN: 0033-569X
Appears in Collections:Matematik Bölümü / Department of Mathematics
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

Show full item record



CORE Recommender

SCOPUSTM   
Citations

3
checked on Dec 21, 2024

WEB OF SCIENCETM
Citations

4
checked on Nov 9, 2024

Page view(s)

104
checked on Dec 23, 2024

Google ScholarTM

Check




Altmetric


Items in GCRIS Repository are protected by copyright, with all rights reserved, unless otherwise indicated.