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Asset Price Dynamics in a Chartist-Fundamentalist Model with Time Delays: A Bifurcation Analysis
Joint Authors
Neamţu, M.
Dobrescu, L. I.
Mircea, Gabriela
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-02-22
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Dobrescu, L. I.& Neamţu, M.& Mircea, Gabriela. 2016. Asset Price Dynamics in a Chartist-Fundamentalist Model with Time Delays: A Bifurcation Analysis. Discrete Dynamics in Nature and Society،Vol. 2016, no. 2016, pp.1-15.
https://search.emarefa.net/detail/BIM-1103467
Modern Language Association (MLA)
Dobrescu, L. I.…[et al.]. Asset Price Dynamics in a Chartist-Fundamentalist Model with Time Delays: A Bifurcation Analysis. Discrete Dynamics in Nature and Society No. 2016 (2016), pp.1-15.
https://search.emarefa.net/detail/BIM-1103467
American Medical Association (AMA)
Dobrescu, L. I.& Neamţu, M.& Mircea, Gabriela. Asset Price Dynamics in a Chartist-Fundamentalist Model with Time Delays: A Bifurcation Analysis. Discrete Dynamics in Nature and Society. 2016. Vol. 2016, no. 2016, pp.1-15.
https://search.emarefa.net/detail/BIM-1103467
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1103467