Oscillatory Dynamics in a Continuous-Time Delay Asset Price Model with Dynamical Fundamental Price
Based on the seminal work of He and Li (J Econ Dyn Cont 36:973987, 2012) on a financial market of heterogeneous beliefs and adaptive behavior, we further propose a model of five dimensional differential delay equations with time varying fundamental price. It is shown that not only the rational behavior of heterogeneous agents routes, but also the fluctuant fundamental price to market instability in continuous time. Oscillatory dynamics of the model are studied by analyzing the associated characteristic equation of the delay differential system. Numerical simulations indicate that the fluctuant fundamental price can obviously increases the financial market amplitude of vibration.
asset price model fundamental price heterogeneous beliefs stability delay differential equation hopf bifurcation