The bull and bear market model of Huang and Day: Some extensions and new results

Fabio Tramontana, Frank Westerhoff and Laura Gardini ()

Journal of Economic Dynamics and Control, 2013, vol. 37, issue 11, 2351-2370

Abstract: 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.

Keywords: Heterogeneous interacting agents; Bull and bear market dynamics; Piecewise-linear maps; Border collision bifurcations (search for similar items in EconPapers)
JEL-codes: C02 D84 G12 G14 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Working Paper: The bull and bear market model of Huang and Day: Some extensions and new results (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:37:y:2013:i:11:p:2351-2370

DOI: 10.1016/j.jedc.2013.06.005

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