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

Listed author(s):
  • Tramontana, Fabio
  • Westerhoff, Frank
  • Gardini, Laura

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.

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 37 (2013)
Issue (Month): 11 ()
Pages: 2351-2370

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Handle: RePEc:eee:dyncon:v:37:y:2013:i:11:p:2351-2370
DOI: 10.1016/j.jedc.2013.06.005
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  16. Guido VENIER, 2008. "A New Model For Stock Price Movements," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 3(3(5)_Fall), pages 329-350.
  17. Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2015. "A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 108(C), pages 16-40.
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