Bifurcation Analysis of a Single-Group Asset Flow Model

Download or read book Bifurcation Analysis of a Single-Group Asset Flow Model written by Huseyin Merdan and published by . This book was released on 2016 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.