Bifurcation Analysis of a Single-Group Asset Flow Model
Year: 2016
Type: article
Abstract: 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.
Source: Quarterly of Applied Mathematics
DOI: 10.1090/qam/1418
Authors: H. Merdan, G. Caginalp, W. Troy
Language: English
Subfield: Geometry and Topology
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W3121911468