Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/182509
Authors: 
Dieci, Roberto
Schmitt, Noemi
Westerhoff, Frank
Year of Publication: 
2018
Series/Report no.: 
BERG Working Paper Series 136
Abstract: 
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.
Subjects: 
multi-asset markets
replicator dynamics
nonlinear maps
stability and bifurcation analysis
JEL: 
D84
G12
G41
ISBN: 
978-3-943153-57-6
Document Type: 
Working Paper

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