The bull and bear market model of Huang and Day: Some extensions and new results
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Beschreibung
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.
Autor*in
Fabio Tramontana
Themen in »The bull and bear market model of Huang and Day: Some extensions and new results«
Border collision bifurcations. Bull and bear market dynamics Heterogeneous interacting agents Piecewise-linear maps