All

What are you looking for?

All
Projects
Results
Organizations

Quick search

  • Projects supported by TA ČR
  • Excellent projects
  • Projects with the highest public support
  • Current projects

Smart search

  • That is how I find a specific +word
  • That is how I leave the -word out of the results
  • “That is how I can find the whole phrase”

Perception of Fundamental Values and Financial Market Dynamics: Mathematical Insights from a 2D Piecewise Linear Map

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F22%3A10251399" target="_blank" >RIV/61989100:27510/22:10251399 - isvavai.cz</a>

  • Result on the web

    <a href="https://epubs.siam.org/doi/10.1137/21M1456339" target="_blank" >https://epubs.siam.org/doi/10.1137/21M1456339</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1137/21M1456339" target="_blank" >10.1137/21M1456339</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Perception of Fundamental Values and Financial Market Dynamics: Mathematical Insights from a 2D Piecewise Linear Map

  • Original language description

    We develop a simple financial market model in which a market maker adjusts the price with respect to orders placed by chartists and fundamentalists. A novel feature of our model is that fundamentalists optimistically (pessimistically) believe in a relatively high (low) fundamental value when the financial market is increasing (decreasing). As it turns out, the dynamics of our model is driven by a two-dimensional discontinuous piecewise linear map for which we provide an in-depth analytical and numerical investigation. Among other things, we obtain in explicit form the boundaries of the periodicity regions associated with attracting cycles with rotation number 1/n, n geq 3. These boundaries correspond to border collision bifurcations of the related cycles. We show that the periodicity regions are organized in a specific period adding structure, and some of the regions may overlap. Several examples of coexisting cycles and their basins of attraction are also presented. Economically, our results offer a new explanation for the boom-bust behavior of actual financial markets. (C) 2022 Society for Industrial and Applied Mathematics.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database

  • CEP classification

  • OECD FORD branch

    50200 - Economics and Business

Result continuities

  • Project

    <a href="/en/project/GJ20-25660Y" target="_blank" >GJ20-25660Y: Modeling credit risk and system risk in the non-life insurance sector.</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2022

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    SIAM Journal on Applied Dynamical Systems

  • ISSN

    1536-0040

  • e-ISSN

  • Volume of the periodical

    21

  • Issue of the periodical within the volume

    4

  • Country of publishing house

    US - UNITED STATES

  • Number of pages

    24

  • Pages from-to

    2314-2337

  • UT code for WoS article

  • EID of the result in the Scopus database

    2-s2.0-85146372621