Asset price dynamics with heterogeneous groups

DOI10.1016/J.PHYSD.2006.09.036zbMath1176.91144OpenAlexW3125981620MaRDI QIDQ867873

Hüseyin Merdan, Gunduz Caginalp

Publication date: 19 February 2007

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physd.2006.09.036

zbMATH Keywords

closed-end fundsdynamical system approach to mathematical financeordinary differential equations for asset pricingsecondary issues and stock buybackssteady states of asset prices

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42) Portfolio theory (91G10)

Related Items (5)

Asset flow model for a homogeneous group of investors: high-frequency trading limit ⋮ A mathematical model for asset pricing ⋮ Asset price dynamics for a two-asset market system ⋮ Sensitivity Analysis of Asset Flow Differential Equations and Volatility Comparison of Two Related Variables ⋮ Bifurcation analysis of a single-group asset flow model

Cites Work

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• A kinetic thermodynamics approach to the psychology of fluctuations in financial markets
• Prospect Theory: An Analysis of Decision under Risk
• Do People Rely on the Self-Interested Maximization of Others? An Experimental Test
• Asset flow and momentum: deterministic and stochastic equations
• Market oscillations induced by the competition between value-based and trend-based investment strategies

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