The bull and bear market model of Huang and Day : Some extensions and new results
AbstractWe 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. --
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Bibliographic InfoPaper provided by Bamberg University, Bamberg Economic Research Group in its series BERG Working Paper Series with number 89.
Date of creation: 2012
Date of revision:
Heterogeneous interacting agents; Bull and bear market dynamics; Piecewise-linear maps; Border collision bifurcations;
Other versions of this item:
- Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013. "The bull and bear market model of Huang and Day: Some extensions and new results," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2351-2370.
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-22 (All new papers)
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