Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.11851/1675
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Merdan, Hüseyin | - |
dc.contributor.author | Caginalp, G. | - |
dc.contributor.author | Troy, W. C. | - |
dc.date.accessioned | 2019-07-04T14:19:41Z | - |
dc.date.available | 2019-07-04T14:19:41Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Merdan, H., Caginalp, G., & Troy, W. (2016). Bifurcation analysis of a single-group asset flow model. Available at SSRN 2768610. | en_US |
dc.identifier.issn | 0033-569X | - |
dc.identifier.uri | https://doi.org/10.1090/qam/1418 | - |
dc.identifier.uri | https://hdl.handle.net/20.500.11851/1675 | - |
dc.description.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. | en_US |
dc.description.sponsorship | TUBITAK (The Scientific and Technological Research Council of Turkey) | en_US |
dc.language.iso | en | en_US |
dc.publisher | American Mathematical Society | en_US |
dc.relation.ispartof | Quarterly Of Applied Mathematics | en_US |
dc.rights | info:eu-repo/semantics/closedAccess | en_US |
dc.subject | Asset price dynamics | en_US |
dc.subject | stability of price dynamics | en_US |
dc.subject | Hopf bifurcation | en_US |
dc.subject | price trend | en_US |
dc.subject | momentum | en_US |
dc.subject | market dynamics | en_US |
dc.subject | liquidity | en_US |
dc.subject | periodic solutions | en_US |
dc.title | Bifurcation Analysis of a Single-Group Asset Flow Model | en_US |
dc.type | Article | en_US |
dc.department | Faculties, Faculty of Science and Literature, Department of Mathematics | en_US |
dc.department | Fakülteler, Fen Edebiyat Fakültesi, Matematik Bölümü | tr_TR |
dc.identifier.volume | 74 | - |
dc.identifier.issue | 2 | - |
dc.identifier.startpage | 275 | - |
dc.identifier.endpage | 296 | - |
dc.identifier.wos | WOS:000377510400004 | en_US |
dc.identifier.scopus | 2-s2.0-84970974367 | en_US |
dc.institutionauthor | Merdan, Hüseyin | - |
dc.identifier.doi | 10.1090/qam/1418 | - |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
dc.identifier.scopusquality | Q2 | - |
item.openairetype | Article | - |
item.languageiso639-1 | en | - |
item.grantfulltext | none | - |
item.fulltext | No Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.cerifentitytype | Publications | - |
crisitem.author.dept | 07.03. Department of Mathematics | - |
Appears in Collections: | Matematik Bölümü / Department of Mathematics Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection |
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.