This paper aims to study price dynamics in two different continuous time cobweb models with delays close to [Hommes, 1994]. In both cases, the stationary equilibrium may be not representative of the long-term dynamics of the model, since it is possible to observe endogenous and persistent fluctuations (supercritical Hopf bifurcations) even if a deterministic context without external shocks is considered. In the model in which markets are in equilibrium every time, we show that the existence of time delays in the expectations formation mechanism may cause chaotic dynamics similar to those obtained in [Hommes, 1994] in a discrete time context. From a mathematical point of view, we apply the Poincaré-Lindstedt perturbation method to study the local dynamic properties of the models. In addition, several numerical experiments are used to investigate global properties of the systems.
Equilibrium and disequilibrium dynamics in cobweb models with time delays / Gori, Luca; Guerrini, Luca; Sodini, Mauro. - In: INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS IN APPLIED SCIENCES AND ENGINEERING. - ISSN 0218-1274. - 25:6(2015), pp. 1-14. [10.1142/S0218127415500881]
Equilibrium and disequilibrium dynamics in cobweb models with time delays
SODINI, MAURO
2015
Abstract
This paper aims to study price dynamics in two different continuous time cobweb models with delays close to [Hommes, 1994]. In both cases, the stationary equilibrium may be not representative of the long-term dynamics of the model, since it is possible to observe endogenous and persistent fluctuations (supercritical Hopf bifurcations) even if a deterministic context without external shocks is considered. In the model in which markets are in equilibrium every time, we show that the existence of time delays in the expectations formation mechanism may cause chaotic dynamics similar to those obtained in [Hommes, 1994] in a discrete time context. From a mathematical point of view, we apply the Poincaré-Lindstedt perturbation method to study the local dynamic properties of the models. In addition, several numerical experiments are used to investigate global properties of the systems.File | Dimensione | Formato | |
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