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.

Tramontana, F., Westerhoff, F., Gardini, L., The bull and bear market model of Huang and Day: Some extensions and new results, <<JOURNAL OF ECONOMIC DYNAMICS & CONTROL>>, 2013; 37 (11): 2351-2370. [doi:10.1016/j.jedc.2013.06.005] [http://hdl.handle.net/10807/67453]

The bull and bear market model of Huang and Day: Some extensions and new results

Tramontana, Fabio;
2014

Abstract

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.
Inglese
Tramontana, F., Westerhoff, F., Gardini, L., The bull and bear market model of Huang and Day: Some extensions and new results, <<JOURNAL OF ECONOMIC DYNAMICS & CONTROL>>, 2013; 37 (11): 2351-2370. [doi:10.1016/j.jedc.2013.06.005] [http://hdl.handle.net/10807/67453]
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10807/67453
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