Bifurcation analysis of a single-group asset flow model (Q2809453)
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scientific article; zbMATH DE number 6586984
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| English | Bifurcation analysis of a single-group asset flow model |
scientific article; zbMATH DE number 6586984 |
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Bifurcation analysis of a single-group asset flow model (English)
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30 May 2016
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asset price dynamics
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stability of price dynamics
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Hopf bifurcation
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price trend
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momentum
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market dynamics
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liquidity
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periodic solutions
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Using the asset flow model introduced by \textit{G. Caginalp} and \textit{D. Balenovich} [Philos. Trans. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 357, No. 1758, 2119--2133 (1999; Zbl 0935.91011)], the authors examine crash phenomena in finance from a dynamical systems approach.NEWLINENEWLINEThey study the stability and Hopf bifurcation properties of one of the most basic models. By utilizing the Routh-Hurwitz criteria they determined a curve of equilibria of the model, and also determine the required conditions for the stability of the equilibrium point. Following this, a detailed Hopf bifurcation analysis of the model by choosing the trend-based (or momentum) coefficient as a bifurcation parameter is given.
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