English, Article, Journal or magazine article edition: Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs Xue-Zhong He; Kai Li; Junjie Wei; ...

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Bookmark: http://trove.nla.gov.au/version/31847
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs
Author
  • Xue-Zhong He
  • Kai Li
  • Junjie Wei
  • Min Zheng
Physical Description
  • preprint
Notes
  • By considering a financial market of fundamentalists and trend followers in which the price trend of the trend followers is formed as a weighted average of historical prices, we establish a continuous-time financial market model with time delay and examines 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. This interesting phenomena shed new light in understanding of mechanism on the market stability. When the fundamental price becomes unstable through Hopf bifurcations, suffcient conditions on the stability and global existence of the periodic solution are obtained.
  • asset price; fundamentalists; trend followers; delay differential equations; stability; bifurcations
  • RePEc:uts:rpaper:252
Language
  • English
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