Bifurcation analysis of a single-group asset flow model

Abstract

We study the stability and Hopf bifurcation analysis of an asset pricing model that based on the model introduced by Caginalp and Balenovich in 1999, under the assumption of a …xed amount of cash and stock in the system. First, we study stability analysis of equilibrium points. Choosing the momentum coe¢ cient as a bifurcation parameter, we also show that Hopf bifurcation occurs when the bifurcation parameter passes through a critical value. Analytical results are supported by numerical simulations. A key conclusion for economics and …nance is the existence of periodic solutions for an interval of the bifurcation parameter, which is the trend-based (or momentum) coe¢ cient.