Search results for: Laura Gardini

Items from 1 to 20 out of 68 results

article

A piecewise linear model of credit traps and credit cycles: a complete characterization

Kiminori Matsuyama, Iryna Sushko, Laura Gardini

Decisions in Economics and Finance > 2018 > 41 > 2 > 119-143

We reconsider a regime-switching model of credit frictions which has been proposed in a general framework by Matsuyama for the case of Cobb–Douglas production functions. This results in a piecewise linear map with two discontinuity points and all three branches having the same slope. We offer a complete characterization of the bifurcation structure in the parameter space, as well as of the attracting...

article

Coupled chaotic fluctuations in a model of international trade and innovation: Some preliminary results

Iryna Sushko, Laura Gardini, Kiminori Matsuyama

Communications in Nonlinear Science and Numerical Simulation > 2018 > 58 > C > 287-302

We consider a two-dimensional continuous noninvertible piecewise smooth map, which characterizes the dynamics of innovation activities in the two-country model of trade and product innovation proposed in [7]. This two-dimensional map can be viewed as a coupling of two one-dimensional skew tent maps, each of which characterizes the innovation dynamics in each country in the absence of trade, and the...

article

Foreword to the Special Issue on ”Dynamic Models in Economics and Finance”

Laura Gardini, Ingrid Kubin, Fabio Tramontana, Florian Wagener

Communications in Nonlinear Science and Numerical Simulation > 2018 > 58 > C > 1

article

Robust chaos in a credit cycle model defined by a one-dimensional piecewise smooth map

Iryna Sushko, Laura Gardini, Kiminori Matsuyama

Chaos, Solitons & Fractals > 2016 > 91 > C > 299-309

We consider a family of one-dimensional continuous piecewise smooth maps with monotone increasing and monotone decreasing branches. It is associated with a credit cycle model introduced by Matsuyama, under the assumption of the Cobb-Douglas production function. We offer a detailed analysis of the dynamics of this family. In particular, using the skew tent map as a border collision normal form we obtain...

article

Revisiting the model of credit cycles with Good and Bad projects

Kiminori Matsuyama, Iryna Sushko, Laura Gardini

Journal of Economic Theory > 2016 > 163 > C > 525-556

We revisit the model of endogenous credit cycles by Matsuyama (2013, Sections 2–4). First, we show that the same dynamical system that generates the equilibrium trajectory is obtained under a much simpler setting. Such a streamlined presentation should help to highlight the mechanism through which financial frictions cause instability and recurrent fluctuations. Then, we discuss the nature of fluctuations...

article

A non-autonomous system leading to cyclic chaotic sets to model physiological rhythms

Fatemeh Hadaeghi, Seyed Mohammad Reza Hashemi Golpayegani, Laura Gardini

Applied Mathematics and Computation > 2016 > 281 > C > 343-355

It is proposed a nonlinear system to model highly complex states of rhythms, whose patterns of activity seem irregular. A non-autonomous system which takes into account both exogenous and endogenous influences. The dynamic behaviors of its stroboscopic map are investigated, by using triangular systems. The model provides a theoretical framework for addressing cyclic transitions between chaotic sets...

chapter

A Dynamic Analysis of Speculation across two Markets

Carl Chiarella, Roberto Dieci, Laura Gardini

Lecture Notes in Economics and Mathematical Systems > The Complex Dynamics of Economic Interaction > Market Models and Stylized Facts > 197-212

Summary A discrete time model of a financial market is proposed, where the time evolution of asset prices and wealth arises from the interaction of two groups of agents, fundamentalists and chartists. Each group allocates its wealth between a risky asset (stock) and an alternative asset (bond), and the two groups have heterogeneous expectations about returns. We assume that chartists compute expected...

chapter

Asset Price Dynamics and Diversification with Heterogeneous Agents

Carl Chiarella, Roberto Died, Laura Gardini

Lecture Notes in Economics and Mathematical Systems > Nonlinear Dynamics and Heterogeneous Interacting Agents > Asset Price Dynamics > 251-267

Summary A discrete-time dynamic model of a financial market is developed, where two types of agents, fundamentalists and chartists, allocate their wealth between two risky assets and a safe asset, according to one-period mean-variance maximization. The two groups of agents form different expectations about asset returns and their variance/covariance structure, and this results in different demand...

chapter

Global Bifurcations in a Three-Dimensional Financial Model of Bull and Bear Interactions

Fabio Tramontana, Laura Gardini, Roberto Dieci, Frank Westerhoff

Nonlinear Dynamics in Economics, Finance and Social Sciences > 333-352

In a previous paper Tramontana et al. (2009), we developed a three-dimensional discrete-time dynamic model in which two stock markets of two countries, say H(ome) and A(broad), are linked via and with the foreign exchange market. The latter is modelled in the sense of Day and Huang (1990), i.e. it is characterized by a nonlinear interplay between technical traders (or chartists) and fundamental traders...

book

Nonlinear Dynamics in Economics, Finance and Social Sciences

Gian Italo Bischi, Carl Chiarella, Laura Gardini, Springer Berlin Heidelberg

Over the last two decades there has been a great deal of research into nonlinear dynamic models in economics, finance and the social sciences. This book contains twenty papers that range over very recent applications in these areas. Topics covered include structural change and economic growth, disequilibrium dynamics and economic policy as well as models with boundedly rational agents. The book illustrates...

article

Entry limitations and heterogeneous tolerances in a Schelling-like segregation model

Davide Radi, Laura Gardini

Chaos, Solitons and Fractals: the interdisciplinary journal of Nonlinear... > 2015 > 79 > Complete > 130-144

In this paper we consider a Schelling-type segregation model with two groups of agents that differ in some aspects, such as religion, political affiliation or color of skin. The first group is identified as the local population, while the second group is identified as the newcomers, whose members want to settle down in the city or country, or more generally a system, already populated by members of...

article

Foreword to the Proceedings of the MDEF (Modelli Dinamici in Economia e Finanza – Dynamic Models in Economics and Finance) Workshop, Urbino 18th–20th September 2014

Laura Gardini, Fabio Lamantia, Fabio Tramontana

Chaos, Solitons and Fractals: the interdisciplinary journal of Nonlinear... > 2015 > 79 > Complete > 1

article

Robust unbounded chaotic attractors in 1D discontinuous maps

Roya Makrooni, Neda Abbasi, Mehdi Pourbarat, Laura Gardini

Chaos, Solitons & Fractals > 2015 > 77 > C > 310-318

In this paper we prove the existence of full measure unbounded chaotic attractors which are persistent under parameter perturbation (also called robust). We show that this occurs in a discontinuous piecewise smooth one-dimensional map f, belonging to the family known as Nordmark’s map. To prove the result we extend the properties of a full shift on a finite or infinite number of symbols to a map,...

article

Calculation of homoclinic and heteroclinic orbits in 1D maps

Viktor Avrutin, Björn Schenke, Laura Gardini

Communications in Nonlinear Science and Numerical Simulation > 2015 > 22 > 1-3 > 1201-1214

Homoclinic orbits and heteroclinic connections are important in several contexts, in particular for a proof of the existence of chaos and for the description of bifurcations of chaotic attractors. In this work we discuss an algorithm for their numerical detection in smooth or piecewise smooth, continuous or discontinuous maps. The algorithm is based on the convergence of orbits in backward time and...

article

A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities

Fabio Tramontana, Frank Westerhoff, Laura Gardini

Mathematics and Computers in Simulation > 2015 > 108 > Complete > 16-40

We present a simple financial market model with interacting chartists and fundamentalists. Since some speculators only become active when a certain misalignment level has been crossed, the model dynamics is driven by a discontinuous piecewise linear map. Recent mathematical techniques allow a comprehensive study of the model's dynamical system. One of its surprising features is that model simulations...

article

Foreword to the special issue of Mathematics and Computers in Simulation on complex dynamics in economics and finance

Laura Gardini, Fabio Lamantia, Fabio Tramontana

Mathematics and Computers in Simulation > 2015 > 108 > Complete > 1-2

article

Use of Chebyshev Polynomial Kalman Filter for pseudo-blind demodulation of CD3S signals

Moussa Yahia, Davide Radi, Laura Gardini, Valerio Freschi

International Journal of Control, Automation and Systems > 2015 > 13 > 5 > 1193-1200

Chaos based communication represents an attractive solution in order to design secure multiple access digital communication systems. In this paper we investigate the use of piecewise linear chaotic maps as chaotic generators combined, on the receiver side, with Chebyshev Polynomial Kalman Filters in a dual scheme configuration for demodulation purpose. Piecewise linear maps results into enhanced robustness...

article

The role of constraints in a segregation model: The symmetric case

Davide Radi, Laura Gardini, Viktor Avrutin

Chaos, Solitons and Fractals: the interdisciplinary journal of Nonlinear... > 2014 > 66 > Complete > 103-119

In this paper we study the effects of constraints on the dynamics of an adaptive segregation model introduced by Bischi and Merlone (2011) [3]. The model is described by a two dimensional piecewise smooth dynamical system in discrete time. It models the dynamics of entry and exit of two populations into a system, whose members have a limited tolerance about the presence of individuals of the other...

article

Superstable credit cycles and U-sequence

Iryna Sushko, Laura Gardini, Kiminori Matsuyama

Chaos, Solitons and Fractals: the interdisciplinary journal of Nonlinear... > 2014 > 59 > Complete > 13-27

We study a particular bifurcation structure observed in the parameter space of a one-dimensional continuous piecewise smooth map generated by the credit cycle model introduced by Matsuyama, where the map is defined over the absorbing interval via three functions, one of which is a constant. We show that the flat branch gives rise to superstable cycles whose periodicity regions are ordered according...

article

One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets

Fabio Tramontana, Frank Westerhoff, Laura Gardini

Decisions in Economics and Finance > 2014 > 37 > 1 > 27-51

We develop a simple financial market model with heterogeneous interacting speculators. The dynamics of our model is driven by a one-dimensional discontinuous piecewise linear map, having two discontinuity points and three linear branches. On the one hand, we study this map analytically and numerically to advance our knowledge about such dynamical systems. In particular, not much is known about discontinuous...

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INFONA - science communication portal

Search results for: Laura Gardini

A piecewise linear model of credit traps and credit cycles: a complete characterization

Coupled chaotic fluctuations in a model of international trade and innovation: Some preliminary results

Foreword to the Special Issue on ”Dynamic Models in Economics and Finance”

Robust chaos in a credit cycle model defined by a one-dimensional piecewise smooth map

Revisiting the model of credit cycles with Good and Bad projects

A non-autonomous system leading to cyclic chaotic sets to model physiological rhythms

A Dynamic Analysis of Speculation across two Markets

Asset Price Dynamics and Diversification with Heterogeneous Agents

Global Bifurcations in a Three-Dimensional Financial Model of Bull and Bear Interactions

Nonlinear Dynamics in Economics, Finance and Social Sciences

Entry limitations and heterogeneous tolerances in a Schelling-like segregation model

Foreword to the Proceedings of the MDEF (Modelli Dinamici in Economia e Finanza – Dynamic Models in Economics and Finance) Workshop, Urbino 18th–20th September 2014

Robust unbounded chaotic attractors in 1D discontinuous maps

Calculation of homoclinic and heteroclinic orbits in 1D maps

A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities

Foreword to the special issue of Mathematics and Computers in Simulation on complex dynamics in economics and finance

Use of Chebyshev Polynomial Kalman Filter for pseudo-blind demodulation of CD3S signals

The role of constraints in a segregation model: The symmetric case

Superstable credit cycles and U-sequence

One-dimensional maps with two discontinuity points and three linear branches: mathematical lessons for understanding the dynamics of financial markets

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