Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/6099
Title: A mathematical model for asset pricing
Authors: Merdan, Hüseyin
Alişen, M.
Keywords: Asset pricing
Asset flow differential equations
Demand and supply
Valuation and momentum effect
Liquidity value
Issue Date: 2011
Publisher: Elsevier Science Inc
Abstract: Asset price dynamics is studied by using a system of ordinary differential equations which is derived by utilizing a new excess demand function introduced by Caginalp (2005) [4] for a market involving more information on demand and supply for a stock rather than their values at a particular price. Derivation is based on the finiteness of assets (rather than assuming unbounded arbitrage) in addition to investment strategies that are based on not only price momentum (trend) but also valuation considerations. For this new model and the older models which were extracted using the classical excess demand function by Caginalp and Balenovich (1994, 1999) [2,3], time evolutions of asset price are compared through numerical simulations. (C) 2011 Elsevier Inc. All rights reserved.
URI: https://doi.org/10.1016/j.amc.2011.06.028
https://hdl.handle.net/20.500.11851/6099
ISSN: 0096-3003
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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