The bull and bear market model of Huang and Day : Some extensions and new results

Arbeitspapier

We develop a financial market model with interacting chartists and fundamentalists that embeds the famous bull and bear market model of Huang and Day as a special case. Their model is given by a one-dimensional continuous piecewise-linear map. Our model, on the other hand, is more flexible and is represented by a one-dimensional discontinuous piecewise-linear map. Nevertheless, we are able to provide a more or less complete analytical treatment of the model dynamics by characterizing its possible outcomes in parameter space. In addition, we show that quite different scenarios can trigger real-world phenomena such as bull and bear market dynamics and excess volatility.

Object Details

• ISBN: 978-3-943153-03-3
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: BERG Working Paper Series ; No. 89

Classification and Topics

• Classification: Wirtschaft
• Subject: Heterogeneous interacting agents ; Bull and bear market dynamics ; Piecewise-linear maps ; Border collision bifurcations ; Aktienmarkt ; Anlageverhalten ; Wertpapierspekulation ; Börsenkurs ; Volatilität ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Tramontana, Fabio ; Westerhoff, Frank ; Gardini, Laura
• Event: Veröffentlichung
• (who): Bamberg University, Bamberg Economic Research Group (BERG)
• (where): Bamberg
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/67384
• Last update: 10.03.2025, 11:43 AM CET