BIFURCATION ANALYSIS OF A SINGLE-GROUP ASSET FLOW MODEL

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 coefficien...

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Bibliographic Details
Published in:Quarterly of applied mathematics 2016-01, Vol.74 (2), p.275-296
Main Authors: MERDAN, H., CAGINALP, G., TROY, W. C.
Format: Article
Language:English
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Summary: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.
ISSN:0033-569X
1552-4485
DOI:10.1090/qam/1418