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Asset price dynamics for a two-asset market system
H Bulut1, H Merdan1, D Swigon2
1Department of Mathematics, TOBB University of Economics and Technology, 06560 Ankara, Turkey.
Chaos (Woodbury, N.Y.)
|March 3, 2019
Summary
This study models a closed financial market with two stocks and homogeneous investors. Increasing trend-based trading can cause stable prices to oscillate cyclically, revealing market dynamics without external factors.
Area of Science:
- Mathematical Finance
- Behavioral Economics
- Dynamical Systems Theory
Background:
- Homogeneous investor groups with similar trading motivations and strategies.
- Closed financial market model with fixed cash and stock amounts.
- Investor trading influenced by trend and valuation, with price-dependent buying and independent selling.
Purpose of the Study:
- To develop and analyze a mathematical model of a two-stock market with homogeneous investors.
- To investigate the stability of market equilibria under different trading motivations.
- To explore the conditions leading to price oscillations and cyclic behavior.
Main Methods:
- Dynamical system approach to model market behavior.
- Analysis of equilibrium point stability.
- Application of Hopf bifurcation theory to identify periodic solutions.
Main Results:
- All equilibria are stable when trend-based valuation is not emphasized.
- Instability, characterized by stock price oscillations, emerges when trend and valuation motivations are combined.
- Cyclic market behavior can arise intrinsically from the momentum coefficient, even without external factors.
Conclusions:
- The momentum coefficient can drive cyclic price behavior in financial markets.
- Increasing trend-based trading can destabilize stable equilibria, leading to price oscillations.
- The model provides insights into endogenous market dynamics and investor behavior impacts.
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