Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5098737 | Journal of Economic Dynamics and Control | 2013 | 20 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Fabio Tramontana, Frank Westerhoff, Laura Gardini,