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Multi-group asset flow equations and stability

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  • We consider a two-group asset flow model of a financial instrument with one group focused on price trend, the other on value. We prove the existence of both stable and unstable regions for the system of differential equations and show that a strong motivation based on (particularly recent) price trend is associated with instability. Numerical computations using a set of typical parameters describe precise regions of stability and instability. A precise limiting connection between the discrete and differential equations is also established.
    Mathematics Subject Classification: Primary: 91G99, 34D20, 91B25, 91B26, 91B50.

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