MULTI-GROUP ASSET FLOW EQUATIONS AND STABILITY

被引：7

作者：

Caginalp, Gunduz ^{[1
]}

DeSantis, Mark ^{[1
]}

机构：

[1] Univ Pittsburgh, Dept Math, Pittsburgh, PA 15260 USA

来源：

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B | 2011年 / 16卷 / 01期

关键词：

Underreaction; overreaction; finite assets; efficient market; market dynamics; DIFFERENTIAL-EQUATIONS; MOMENTUM; DYNAMICS; MARKETS; WINNERS; BUBBLES; PRICES; LOSERS;

D O I：

10.3934/dcdsb.2011.16.109

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider a two-group asset flow model of a financial instrument with one group focused on price trend, the other on value. We prove the existence of both stable and unstable regions for the system of differential equations and show that a strong motivation based on (particularly recent) price trend is associated with instability. Numerical computations using a set of typical parameters describe precise regions of stability and instability. A precise limiting connection between the discrete and differential equations is also established.

引用

页码：109 / 150

页数：42

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