Please use this identifier to cite or link to this item: http://hdl.handle.net/10995/111203
Title: Asset Price Dynamics in a “Bull and Bear Market”
Authors: Jungeilges, J.
Maklakova, E.
Perevalova, T.
Issue Date: 2021
Publisher: Elsevier B.V.
Elsevier BV
Citation: Jungeilges J. Asset Price Dynamics in a “Bull and Bear Market” / J. Jungeilges, E. Maklakova, T. Perevalova // Structural Change and Economic Dynamics. — 2021. — Vol. 56. — P. 117-128.
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. © 2020.
Keywords: BEHAVIORAL ASYMMETRIES
BIFURCATION ANALYSIS
NON-SMOOTH MAPS
MARKET SYSTEM
PRICE DYNAMICS
TRADE
URI: http://hdl.handle.net/10995/111203
Access: info:eu-repo/semantics/openAccess
SCOPUS ID: 85095460001
PURE ID: 20112177
ISSN: 0954-349X
Appears in Collections:Научные публикации, проиндексированные в SCOPUS и WoS CC

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