Market stability switches in a continuous-time financial market with heterogeneous beliefs

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dc.contributor.author He, X
dc.contributor.author Li, K
dc.contributor.author Wei, J
dc.contributor.author Zheng, M
dc.date.accessioned 2010-05-28T09:52:57Z
dc.date.issued 2009-01
dc.identifier.citation Economic Modelling, 2009, 26 (6), pp. 1432 - 1442
dc.identifier.issn 0264-9993
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/9934
dc.description.abstract By considering a financial market of fundamentalists and trend followers in which the price trend of trend followers is formed as a weighted average of historical prices, we establish a continuous-time financial market model with time delay and examine the impact of time delay on market price dynamics. Conditions for the stability of the fundamental price in terms of agents' behavior parameters and time delay are obtained. In particular, it is found that an increase in time delay can not only destabilize the market price but also stabilize an otherwise unstable market price, leading to stability switching as delay increases. These interesting phenomena shed new light in understanding of mechanism on the market stability. When the fundamental price becomes unstable through Hopf bifurcations, sufficient conditions on the stability and global existence of the periodic solution are obtained.
dc.publisher Elsevier
dc.relation.isbasedon 10.1016/j.econmod.2009.07.016
dc.title Market stability switches in a continuous-time financial market with heterogeneous beliefs
dc.type Journal Article
dc.parent Economic Modelling
dc.journal.volume 6
dc.journal.volume 26
dc.journal.number 6 en_US
dc.publocation USA en_US
dc.identifier.startpage 1432 en_US
dc.identifier.endpage 1442 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140303 Economic Models and Forecasting
dc.personcode 010238
dc.personcode 999047
dc.personcode 111248
dc.percentage 100 en_US
dc.classification.name Economic Models and Forecasting en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Asset price; Fundamentalists; Trend followers; Delay differential equations; Stability; Bifurcations en_US
dc.description.keywords Asset price
dc.description.keywords Fundamentalists
dc.description.keywords Trend followers
dc.description.keywords Delay differential equations
dc.description.keywords Stability
dc.description.keywords Bifurcations
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)


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