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|Title:||Bifurcation Analysis Of A Single-Group Asset Flow Model||Authors:||Merdan, Hüseyin
Troy, W. C.
|Keywords:||Asset price dynamics
stability of price dynamics
|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
|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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