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- W3122444968 abstract "By developing a continuous-time heterogeneous agent model of multiassets traded by fundamental and momentum investors, we provide a potential mechanism in generating time-varying dominance between fundamental and nonfundamental in financial market. The deterministic skeleton of the nonlinear model tends to have bistable dynamics, characterized by a Bautin bifurcation, in which a locally stable fundamental steady state coexists with a locally stable limit cycle around the fundamental, leading to two very different market states. Market prices switch stochastically between the two persistent market states, leading to the coexistence of seemingly controversial efficient market and price momentum over different time periods. The model also generates other financial market stylized facts, such as spillover effects in both momentum and volatility, market booms, crashes, and correlation reduction due to cross-sectional momentum trading. Empirical evidence based on US market supports the main findings." @default.
- W3122444968 created "2021-02-01" @default.
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- W3122444968 date "2018-01-01" @default.
- W3122444968 modified "2023-09-28" @default.
- W3122444968 title "Time-Varying Economic Dominance Through Bistable Dynamics" @default.
- W3122444968 hasPublicationYear "2018" @default.
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