6533b852fe1ef96bd12aaaf7
RESEARCH PRODUCT
Asset price dynamics in a “bull and bear market”
Elena MaklakovaTatyana PerevalovaJochen JungeilgesJochen Jungeilgessubject
Economics and Econometrics05 social sciences0211 other engineering and technologiesAsset market02 engineering and technologyParameter spaceClassification of discontinuitiesStability (probability)Linear mapBifurcation analysisDynamics (music)0502 economics and businessEconomicsEconometrics021108 energyAsset (economics)050207 economicsdescription
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 analysis in a 4-dimensional parameter space. According to our findings the extent of the disparity between the no-trade and low-intervals effects the existence of equilibria but not their stability.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2021-03-01 | Structural Change and Economic Dynamics |