Steady states, stability and bifurcations in multi-asset market models

Autori

• Roberto Dieci

Parametri

• Economia e affari
• BERG working paper series

Maggiori informazioni sul libro

We provide a full analytical treatment of a multi-asset market model in which speculators have the choice between two risky and one safe asset. As it turns out, the dynamics of our model is driven by a four-dimensional nonlinear map and may undergo a transcritical, flip or Neimark-Sacker bifurcation. While the first bifurcation is associated with an undervaluation of the risky assets, the latter two may trigger (complex) endogenous dynamics. To facilitate our analysis, we first study a simpler two-dimensional setup of our model in which speculators can only switch between one risky and one safe asset.

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Lingua: Inglese

Pubblicato: 2018