Steady states, stability and bifurcations in multi-asset market models

Arbeitspapier

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.

Object Details

• ISBN: 978-3-943153-57-6
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: BERG Working Paper Series ; No. 136

Classification and Topics

• Classification: 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‡
• Subject: multi-asset markets ; replicator dynamics ; nonlinear maps ; stability and bifurcation analysis

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Dieci, Roberto ; Schmitt, Noemi ; Westerhoff, Frank
• Event: Veröffentlichung
• (who): Bamberg University, Bamberg Economic Research Group (BERG)
• (where): Bamberg
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/182509
• Last update: 10.03.2025, 11:45 AM CET