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.
125872
Keywords: Asset price dynamics
stability of price dynamics
Hopf bifurcation
price trend
momentum
market dynamics
liquidity
periodic solutions
Issue Date: 2016
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

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