Please use this identifier to cite or link to this item:
Tramontana, Fabio
Westerhoff, Frank
Gardini, Laura
Year of Publication: 
Series/Report no.: 
BERG Working Paper Series No. 89
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.
Heterogeneous interacting agents
Bull and bear market dynamics
Piecewise-linear maps
Border collision bifurcations
Document Type: 
Working Paper

Files in This Item:
566.68 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.