0000000000924313
AUTHOR
Elena Maklakova
showing 2 related works from this author
Asset price dynamics in a “bull and bear market”
2021
Abstract We generalize an existing asset market model with heterogenous agents. In particular, we consider the case in which no-trade and low-trade intervals of chartists and fundamentalists respectively are not congruent. Thus we model chartist and fundamentalists who respond to asset prices in agent-specific neighborhoods around the fundamental value with different trade intensities. The resulting asset price dynamics is generated by a one-dimensional 5-piece linear map with discontinuities. Our analysis of this map focusses on coexisting price equilibria. Conditions for their existence and stability are determined analytically. By visualizing the results we allow for a basic bifurcation …
Stochastic sensitivity of bull and bear states
2021
We study the price dynamics generated by a stochastic version of a Day–Huang type asset market model with heterogenous, interacting market participants. To facilitate the analysis, we introduce a methodology that allows us to assess the consequences of changes in uncertainty on the dynamics of an asset price process close to stable equilibria. In particular, we focus on noise-induced transitions between bull and bear states of the market under additive as well as parametric noise. Our results are obtained by combining the stochastic sensitivity function (SSF) approach, a mixture of analytical and numerical techniques, due to Mil’shtein and Ryashko (1995) with concepts and techniques from th…