Hopf bifurcation of a financial dynamical system with delay

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Calis Y., Demirci A., Özemir C.

MATHEMATICS AND COMPUTERS IN SIMULATION, cilt.201, ss.343-361, 2022 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 201
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1016/j.matcom.2022.05.003
  • Dergi Adı: MATHEMATICS AND COMPUTERS IN SIMULATION
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, Applied Science & Technology Source, Computer & Applied Sciences, INSPEC, Public Affairs Index, zbMATH
  • Sayfa Sayıları: ss.343-361
  • Anahtar Kelimeler: Delayed financial model, Hopf bifurcation, Stability analysis, GLOBAL COMPLICATED CHARACTER, TOPOLOGICAL-STRUCTURE, CHAOS, ZEROS, MODEL, KIND
  • İstanbul Teknik Üniversitesi Adresli: Evet

Özet

The aim of this work is to investigate the qualitative behaviour of a financial dynamical system which contains a time delay. We investigate the dynamic response of this system of which variables are interest rate, investment demand, price index and average profit margin. As a plus to the available literature, the model investigated takes into account a timed delayed feedback in the investment demand. We perform a stability analysis at the fixed points and show that the system undergoes a Hopf bifurcation using well-known methods of stability analyses for delayed systems. The bifurcation analyses are supported by numerical simulations. The analysis reveals that for a set of parameters for which the non-delayed system is stable, a delay in the investment demand may drive the system to instability.(c) 2022 International Association for Mathematics and Computers in Simulation (IMACS). Published by Elsevier B.V. All rights reserved.