Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.11851/1675
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Merdan, Hüseyin | - |
dc.contributor.author | Caginalp, G. | - |
dc.contributor.author | Troy, W. C. | - |
dc.date.accessioned | 2019-07-04T14:19:41Z | - |
dc.date.available | 2019-07-04T14:19:41Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Merdan, H., Caginalp, G., & Troy, W. (2016). Bifurcation analysis of a single-group asset flow model. Available at SSRN 2768610. | en_US |
dc.identifier.issn | 0033-569X | - |
dc.identifier.uri | https://doi.org/10.1090/qam/1418 | - |
dc.identifier.uri | https://hdl.handle.net/20.500.11851/1675 | - |
dc.description.abstract | We study the stability and Hopf bifurcation analysis of an asset pricing model that is based on the model introduced by Caginalp and Balenovich, under the assumption of a fixed amount of cash and stock in the system. First, we analyze stability of equilibrium points. Choosing the momentum coefficient as a bifurcation parameter, we also show that Hopf bifurcation occurs when the bifurcation parameter passes through a critical value. Analytical results are supported by numerical simulations. A key conclusion for economics and finance is the existence of periodic solutions in the absence of exogenous factors for an interval of the bifurcation parameter, which is the trend-based (or momentum) coefficient. | en_US |
dc.description.sponsorship | TUBITAK (The Scientific and Technological Research Council of Turkey) | en_US |
dc.language.iso | en | en_US |
dc.publisher | American Mathematical Society | en_US |
dc.relation.ispartof | Quarterly Of Applied Mathematics | en_US |
dc.rights | info:eu-repo/semantics/closedAccess | en_US |
dc.subject | Asset price dynamics | en_US |
dc.subject | stability of price dynamics | en_US |
dc.subject | Hopf bifurcation | en_US |
dc.subject | price trend | en_US |
dc.subject | momentum | en_US |
dc.subject | market dynamics | en_US |
dc.subject | liquidity | en_US |
dc.subject | periodic solutions | en_US |
dc.title | Bifurcation Analysis of a Single-Group Asset Flow Model | en_US |
dc.type | Article | en_US |
dc.department | Faculties, Faculty of Science and Literature, Department of Mathematics | en_US |
dc.department | Fakülteler, Fen Edebiyat Fakültesi, Matematik Bölümü | en_US |
dc.identifier.volume | 74 | en_US |
dc.identifier.issue | 2 | en_US |
dc.identifier.startpage | 275 | en_US |
dc.identifier.endpage | 296 | en_US |
dc.identifier.wos | WOS:000377510400004 | - |
dc.identifier.scopus | 2-s2.0-84970974367 | - |
dc.institutionauthor | Merdan, Hüseyin | - |
dc.identifier.doi | 10.1090/qam/1418 | - |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
dc.identifier.scopusquality | Q3 | - |
dc.identifier.wosquality | Q4 | - |
item.languageiso639-1 | en | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.cerifentitytype | Publications | - |
item.fulltext | No Fulltext | - |
item.openairetype | Article | - |
item.grantfulltext | none | - |
crisitem.author.dept | 07.03. Department of Mathematics | - |
Appears in Collections: | Matematik Bölümü / Department of Mathematics Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection |
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