Symmetry breaking in a bull and bear financial market model

Fabio Tramontana, Iryna Sushko, Frank Westerhoff, Viktor Avrutin

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

7 Citazioni (Scopus)

Abstract

We investigate bifurcation structures in the parameter space of a one-dimensional piecewise linear map with two discontinuity points. This map describes endogenous bull and bear market dynamics arising from a simple asset-pricing model. An important feature of our model is that some speculators only enter the market if the price is sufficiently distant to its fundamental value. Our analysis starts with the investigation of a particular case in which the map is symmetric with respect to the origin, associated with equal market entry thresholds in the bull and bear market. We then generalize our analysis by exploring how novel bifurcation structures may emerge when the map’s symmetry is broken.
Lingua originaleEnglish
pagine (da-a)N/A-N/A
RivistaCHAOS, SOLITONS & FRACTALS
DOI
Stato di pubblicazionePubblicato - 2015

Keywords

  • Border Collision Bifurcations
  • Financial market

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