Arbeitspapier
Steady states, stability and bifurcations in multi-asset market models
We provide a full analytical treatment of a multi-asset market model in which speculators have the choice between two risky and one safe asset. As it turns out, the dynamics of our model is driven by a four-dimensional nonlinear map and may undergo a transcritical, flip or Neimark-Sacker bifurcation. While the first bifurcation is associated with an undervaluation of the risky assets, the latter two may trigger (complex) endogenous dynamics. To facilitate our analysis, we first study a simpler two-dimensional setup of our model in which speculators can only switch between one risky and one safe asset.
- ISBN
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978-3-943153-57-6
- Sprache
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Englisch
- Erschienen in
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Series: BERG Working Paper Series ; No. 136
- Klassifikation
-
Wirtschaft
Expectations; Speculations
Asset Pricing; Trading Volume; Bond Interest Rates
Behavioral Finance: Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets‡
- Thema
-
multi-asset markets
replicator dynamics
nonlinear maps
stability and bifurcation analysis
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dieci, Roberto
Schmitt, Noemi
Westerhoff, Frank
- Ereignis
-
Veröffentlichung
- (wer)
-
Bamberg University, Bamberg Economic Research Group (BERG)
- (wo)
-
Bamberg
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dieci, Roberto
- Schmitt, Noemi
- Westerhoff, Frank
- Bamberg University, Bamberg Economic Research Group (BERG)
Entstanden
- 2018
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