Search results for "NON-INVERTIBLE MAPS"

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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…

CRITICAL INTENSITYEconomics and EconometricsVDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 21205 social sciencesAsset marketNON-SMOOTH MAPSType (model theory)01 natural sciencesNON-INVERTIBLE MAPS010305 fluids & plasmasNoiseSTOCHASTIC PRICE PROCESSTRANSITIONS BETWEEN STOCHASTIC FIXED POINTS0502 economics and business0103 physical sciencesEconometricsSensitivity (control systems)Asset (economics)050207 economicsBusiness and International ManagementSTOCHASTIC SENSITIVITY FUNCTIONFocus (optics)Parametric statisticsMathematicsJournal of Economic Interaction and Coordination
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