TY - JOUR
T1 - The bull and bear market model of Huang and Day: Some extensions and new results
AU - Tramontana, Fabio
AU - Westerhoff, Frank
AU - Gardini, Laura
PY - 2014
Y1 - 2014
N2 - 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.
AB - 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.
KW - Border Collision Bifurcations
KW - Bull and bear finanancial market
KW - Border Collision Bifurcations
KW - Bull and bear finanancial market
UR - http://hdl.handle.net/10807/67453
U2 - 10.1016/j.jedc.2013.06.005
DO - 10.1016/j.jedc.2013.06.005
M3 - Article
SN - 0165-1889
VL - 37
SP - 2351
EP - 2370
JO - JOURNAL OF ECONOMIC DYNAMICS & CONTROL
JF - JOURNAL OF ECONOMIC DYNAMICS & CONTROL
ER -