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

Fabio Tramontana, Frank Westerhoff and Laura Gardini ()

No 89, BERG Working Paper Series from Bamberg University, Bamberg Economic Research Group

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)
Date: 2012
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Citations: View citations in EconPapers (17)

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Related works:
Journal Article: The bull and bear market model of Huang and Day: Some extensions and new results (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bamber:89

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