Asset price dynamics with heterogeneous groups

DOI10.1016/J.PHYSD.2006.09.036MaRDI QIDQ867873zbMATH OpenOpenAlexFDO

Authors Gunduz Caginalp, Hüseyin Merdan

Publication date 19 February 2007

Published in Physica D (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physd.2006.09.036

zbMATH Keywords

closed-end fundsdynamical system approach to mathematical financeordinary differential equations for asset pricingsecondary issues and stock buybackssteady states of asset prices

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42) Portfolio theory (91G10)

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Cites work

• A kinetic thermodynamics approach to the psychology of fluctuations in financial markets
• Asset flow and momentum: deterministic and stochastic equations
• Do People Rely on the Self-Interested Maximization of Others? An Experimental Test
• scientific article; zbMATH DE number 494539 (Why is no real title available?)
• Market oscillations induced by the competition between value-based and trend-based investment strategies
• Prospect Theory: An Analysis of Decision under Risk

Cited in

(7)

• Asset price dynamics among heterogeneous interacting agents
• Bifurcation analysis of a single-group asset flow model
• Sensitivity Analysis of Asset Flow Differential Equations and Volatility Comparison of Two Related Variables
• Asset price dynamics for a two-asset market system
• Asset price and wealth dynamics under heterogeneous expectations
• Asset flow model for a homogeneous group of investors: high-frequency trading limit
• A mathematical model for asset pricing

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