Numerical Studies of Differential Equations Related to Theoretical Financial Markets

Appl. Math. Lett., Vol. 4, pp. 35-38, 1991

Posted: 18 Jan 2010

See all articles by Gunduz Caginalp

Gunduz Caginalp

University of Pittsburgh - Department of Mathematics

G.B. Ermentrout

University of Pittsburgh

Date Written: January 1, 1990

Abstract

Numerical computations are performed on a model which has been proposed to describe the characteristic and psychological aspects of financial markets in a pure setting. Overreactions, fluctuations and convergence to realistic values are observed in these calculations. By varying parameters related to either emotional or rational motivations, one can obtain a spectrum of patterns which range from efficient to chaotic markets.

Keywords: Asset dynamics, computation, overreaction, momentum, trend, underreaction

JEL Classification: G10, G12

Suggested Citation

Caginalp, Gunduz and Ermentrout, Bard, Numerical Studies of Differential Equations Related to Theoretical Financial Markets (January 1, 1990). Appl. Math. Lett., Vol. 4, pp. 35-38, 1991, Available at SSRN: https://ssrn.com/abstract=1538028

Gunduz Caginalp (Contact Author)

University of Pittsburgh - Department of Mathematics ( email )

507 Thackeray Hall
Pittsburgh, PA 15260
United States
412-624-8339 (Phone)
412-624-8397 (Fax)

Bard Ermentrout

University of Pittsburgh ( email )

135 N Bellefield Ave
Pittsburgh, PA 15260
United States

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