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Applied Mathematical Finance Volume 1, 1994 - Issue 2
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Original Articles

Market oscillations induced by the competition between value-based and trend-based investment strategies

G. Caginalp Department of Mathematics and Statistics, University of Pittsburgh, 301 Thackeray Hall, Pittsburgh, PA, 15260, USA
&
D. Balenovich Department of Mathematics, Indiana University of Pennsylvania, 206 Stright Hall, Indiana, PA, 15705, USA
Pages 129-164 | Received 01 Nov 1993, Published online: 24 May 2006

Citations (25)

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Read on this site (5)

Ahmet Duran. (2009) Sensitivity Analysis of Asset Flow Differential Equations and Volatility Comparison of Two Related Variables. Numerical Functional Analysis and Optimization 30:1-2, pages 82-97.
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Karl Ludwig Keiber. (2008) Price discovery in the presence of boundedly rational agents. Quantitative Finance 8:3, pages 235-249.
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Gunduz Caginalp, David Porter & Vernon Smith. (2001) Financial Bubbles: Excess Cash, Momentum, and Incomplete Information. Journal of Psychology and Financial Markets 2:2, pages 80-99.
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Gunduz Caginalp, David Porter & Vernon L. Smith. (2000) Overreactions, Momentum, Liquidity, and Price Bubbles in Laboratory and Field Asset Markets. Journal of Psychology and Financial Markets 1:1, pages 24-48.
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G. Caginalp & G. Constantine. (1995) Statistical inference and modelling of momentum in stock prices. Applied Mathematical Finance 2:4, pages 225-242.
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Articles from other publishers (20)

H. Bulut, H. Merdan & D. Swigon. (2019) Asset price dynamics for a two-asset market system. Chaos: An Interdisciplinary Journal of Nonlinear Science 29:2, pages 023114.
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Mark DeSantis & David Swigon. (2018) Slow-fast analysis of a multi-group asset flow model with implications for the dynamics of wealth. PLOS ONE 13:11, pages e0207764.
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Din Prathumwan, Wannika Sawangtong & Panumart Sawangtong. (2017) An Analysis on the Fractional Asset Flow Differential Equations. Mathematics 5:2, pages 33.
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Cars Hommes. (2015) Book Review. Journal of Economic Psychology 50, pages 138-142.
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Steven D. Gjerstad & Vernon L. Smith. 2014. Rethinking Housing Bubbles. Rethinking Housing Bubbles 20 48 .
H. Merdan & M. Alisen. (2011) A mathematical model for asset pricing. Applied Mathematics and Computation 218:4, pages 1449-1456.
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Jessen L. Hobson. (2011) Do the Benefits of Reducing Accounting Complexity Persist in Markets Prone to Bubble?*. Contemporary Accounting Research 28:3, pages 957-989.
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Ahmet Duran. (2011) Stability analysis of asset flow differential equations. Applied Mathematics Letters 24:4, pages 471-477.
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Yiping Cai & Jianxin You. (2008) Research on Value Stream Analysis and Optimization Methods. Research on Value Stream Analysis and Optimization Methods.
Yongming Cai & Wei Chen. (2008) General Service Pricing Strategies Research Based on Dynamic Stochastic Wealth Model. General Service Pricing Strategies Research Based on Dynamic Stochastic Wealth Model.
Yongming Cai & Wei Chen. (2008) General service pricing strategies research based on dynamic stochastic wealth model. General service pricing strategies research based on dynamic stochastic wealth model.
G. Caginalp & H. Merdan. (2007) Asset price dynamics with heterogeneous groups. Physica D: Nonlinear Phenomena 225:1, pages 43-54.
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Hideyuki Mizuta, Ken Steiglitz & Erez Lirov. (2003) Effects of price signal choices on market stability. Journal of Economic Behavior & Organization 52:2, pages 235-251.
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Gunduz Caginalp, David Porter & Vernon Smith. (2000) Momentum and overreaction in experimental asset markets. International Journal of Industrial Organization 18:1, pages 187-204.
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G. Caginalp & D. Balenovich. (1999) Asset flow and momentum: deterministic and stochastic equations. Philosophical Transactions of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences 357:1758, pages 2119-2133.
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Gunduz Caginalp, David Porter & Vernon Smith. (1998) Initial cash/asset ratio and asset prices: An experimental study. Proceedings of the National Academy of Sciences 95:2, pages 756-761.
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G. Caginalp & D. Balenovich. (1996) Trend-based asset flow in technical analysis and securities marketing. Psychology and Marketing 13:4, pages 407-444.
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Huseyin Merdan, Gunduz Caginalp & William Troy. (2016) Bifurcation Analysis of a Single-Group Asset Flow Model. SSRN Electronic Journal.
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Rodion Remorov. (2015) Stock Price Kinetics. SSRN Electronic Journal.
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Jessen L. Hobson. (2010) Do the Benefits of Reducing Accounting Complexity Persist in Markets Prone to Bubble?. SSRN Electronic Journal.
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