Asset Price Dynamics in a Chartist-Fundamentalist Model with Time Delays: A Bifurcation Analysis
This paper studies the dynamic behavior of asset prices using a chartist-fundamentalist model with two speculative markets. To this effect, we employ a differential system with delays à la Dibeh (2007) to describe the price dynamics and we assume that the two markets are coupled via diffusive coupli...
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| Format: | Article |
| Language: | English |
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Wiley
2016-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2016/4907468 |
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| author | Loretti I. Dobrescu Mihaela Neamtu Gabriela Mircea |
| author_facet | Loretti I. Dobrescu Mihaela Neamtu Gabriela Mircea |
| author_sort | Loretti I. Dobrescu |
| collection | DOAJ |
| description | This paper studies the dynamic behavior of asset prices using a chartist-fundamentalist model with two speculative markets. To this effect, we employ a differential system with delays à la Dibeh (2007) to describe the price dynamics and we assume that the two markets are coupled via diffusive coupling terms. We study two different time delay cases, namely, when both markets experience the same time delay and when the time delay is different across markets. First, we theoretically determine that the equilibrium exists and investigate its stability. Second, we establish the general conditions for the existence of local Hopf bifurcations and analyze their direction and stability. The common conclusion from both the delay scenarios we consider is that coupled speculative markets with heterogeneous agents in each, but with different price dynamics, can be synchronized through diffusive coupling. Finally, we provide some numerical illustrations to confirm our theoretical findings. |
| format | Article |
| id | doaj-art-b77f9c3bc6fc4e07acb5dbae40e47319 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2016-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-b77f9c3bc6fc4e07acb5dbae40e473192025-02-03T01:30:28ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2016-01-01201610.1155/2016/49074684907468Asset Price Dynamics in a Chartist-Fundamentalist Model with Time Delays: A Bifurcation AnalysisLoretti I. Dobrescu0Mihaela Neamtu1Gabriela Mircea2School of Economics, University of New South Wales, Sydney, NSW 2052, AustraliaDepartment of Economic Modelling, West University of Timisoara, 16 A J. H. Pestalozzi Street, 300115 Timisoara, RomaniaDepartment of Business Information Systems, West University of Timisoara, 16 A J. H. Pestalozzi Street, 300115 Timisoara, RomaniaThis paper studies the dynamic behavior of asset prices using a chartist-fundamentalist model with two speculative markets. To this effect, we employ a differential system with delays à la Dibeh (2007) to describe the price dynamics and we assume that the two markets are coupled via diffusive coupling terms. We study two different time delay cases, namely, when both markets experience the same time delay and when the time delay is different across markets. First, we theoretically determine that the equilibrium exists and investigate its stability. Second, we establish the general conditions for the existence of local Hopf bifurcations and analyze their direction and stability. The common conclusion from both the delay scenarios we consider is that coupled speculative markets with heterogeneous agents in each, but with different price dynamics, can be synchronized through diffusive coupling. Finally, we provide some numerical illustrations to confirm our theoretical findings.http://dx.doi.org/10.1155/2016/4907468 |
| spellingShingle | Loretti I. Dobrescu Mihaela Neamtu Gabriela Mircea Asset Price Dynamics in a Chartist-Fundamentalist Model with Time Delays: A Bifurcation Analysis Discrete Dynamics in Nature and Society |
| title | Asset Price Dynamics in a Chartist-Fundamentalist Model with Time Delays: A Bifurcation Analysis |
| title_full | Asset Price Dynamics in a Chartist-Fundamentalist Model with Time Delays: A Bifurcation Analysis |
| title_fullStr | Asset Price Dynamics in a Chartist-Fundamentalist Model with Time Delays: A Bifurcation Analysis |
| title_full_unstemmed | Asset Price Dynamics in a Chartist-Fundamentalist Model with Time Delays: A Bifurcation Analysis |
| title_short | Asset Price Dynamics in a Chartist-Fundamentalist Model with Time Delays: A Bifurcation Analysis |
| title_sort | asset price dynamics in a chartist fundamentalist model with time delays a bifurcation analysis |
| url | http://dx.doi.org/10.1155/2016/4907468 |
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