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

Roberto Dieci, Noemi Schmitt and Frank Westerhoff ()

No 136, BERG Working Paper Series from Bamberg University, Bamberg Economic Research Group

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.

Keywords: multi-asset markets; replicator dynamics; nonlinear maps; stability and bifurcation analysis (search for similar items in EconPapers)
JEL-codes: D84 G12 G41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ore
Date: 2018
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