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Title: Asset price dynamics with heterogeneous groups
Authors: Çağınalp, G.
Merdan, Hüseyin
Keywords: ordinary differential equations for asset pricing
steady states of asset prices
dynamical system approach to mathematical finance
secondary issues and stock buybacks
closed-end funds
Issue Date: 2007
Publisher: Elsevier Science Bv
Abstract: A system of ordinary differential equations is used to study the price dynamics of an asset under various conditions. One of these involves the introduction of new information that is interpreted differently by two groups. Another studies the price change due to a change in the number of shares. The steady state is examined under these conditions to determine the changes in the price due to these phenomena. Numerical studies are also performed to understand the transition between the regimes. The differential equations naturally incorporate the effects due to the finiteness of assets (rather than assuming unbounded arbitrage) in addition to investment strategies that are based on either price momentum (trend) or valuation considerations. The numerical studies are compared with closed-end funds that issue additional shares, and offers insight into the strategies of investors. (c) 2006 Elsevier B.V. All rights reserved.
ISSN: 0167-2789
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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