Market stability switches in a continuous-time financial market with heterogeneous beliefs

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Show simple item record He, Xuezhong en_US Li, Kai en_US Wei, Junjie en_US Zheng, Min en_US
dc.contributor.editor en_US 2010-05-28T09:52:57Z 2010-05-28T09:52:57Z 2009 en_US
dc.identifier 2008007139 en_US
dc.identifier.citation He Xuezhong et al. 2009, 'Market stability switches in a continuous-time financial market with heterogeneous beliefs', Elsevier, vol. 26, no. 6, pp. 1432-1442. en_US
dc.identifier.issn 0264-9993 en_US
dc.identifier.other C1 en_US
dc.description.abstract By considering a financial market of fundamentalists and trend followers in which the price trend of trend followers is formed as a weighted average of historical prices, we establish a continuous-time financial market model with time delay and examine the impact of time delay on market price dynamics. Conditions for the stability of the fundamental price in terms of agents' behavior parameters and time delay are obtained. In particular, it is found that an increase in time delay can not only destabilize the market price but also stabilize an otherwise unstable market price, leading to stability switching as delay increases. These interesting phenomena shed new light in understanding of mechanism on the market stability. When the fundamental price becomes unstable through Hopf bifurcations, sufficient conditions on the stability and global existence of the periodic solution are obtained. en_US
dc.language en_US
dc.publisher Elsevier en_US
dc.relation.isbasedon en_US
dc.title Market stability switches in a continuous-time financial market with heterogeneous beliefs en_US
dc.parent Economic Modelling en_US
dc.journal.volume 26 en_US
dc.journal.number 6 en_US
dc.publocation USA en_US
dc.identifier.startpage 1432 en_US
dc.identifier.endpage 1442 en_US BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140303 en_US
dc.personcode 010238 en_US
dc.personcode 111248 en_US
dc.personcode 0000050437 en_US
dc.personcode 999047 en_US
dc.percentage 100 en_US Economic Models and Forecasting en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US en_US
dc.location.activity en_US
dc.description.keywords Asset price; Fundamentalists; Trend followers; Delay differential equations; Stability; Bifurcations en_US
dc.staffid en_US
dc.staffid 999047 en_US

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