In this work we analyze a financial market model based on the imitative behaviour between n traders. Every agent has an investment attitude which can be influenced by other agents’ opinions, introducing in this way a “contagion process”. We formalize this process using the “synergetic approach”, leading to the construction of a noninvertible discrete dynamical map. Some bifurcations involving the fundamental equilibrium point and the structure of its basins are analyzed.

Foroni, I., Grassi, R. (2005). The contagion process in a financial model: a synergetic approach. PURE MATHEMATICS AND APPLICATIONS, 16(4), 377-398.

The contagion process in a financial model: a synergetic approach

FORONI, ILARIA;GRASSI, ROSANNA
2005

Abstract

In this work we analyze a financial market model based on the imitative behaviour between n traders. Every agent has an investment attitude which can be influenced by other agents’ opinions, introducing in this way a “contagion process”. We formalize this process using the “synergetic approach”, leading to the construction of a noninvertible discrete dynamical map. Some bifurcations involving the fundamental equilibrium point and the structure of its basins are analyzed.
Articolo in rivista - Articolo scientifico
Scientifica
Synergetics, Discrete dynamical system
English
377
398
Foroni, I., Grassi, R. (2005). The contagion process in a financial model: a synergetic approach. PURE MATHEMATICS AND APPLICATIONS, 16(4), 377-398.
Foroni, I; Grassi, R
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/3626
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