STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET

We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of the system is grounded upon a heterogeneous interacting agent model for a single risky asset market. An advantage of this construction procedure is that the resulting dynamical system becomes a macroscopic market model which mirrors the market quantities and qualities that would typically be taken into account solely at the microscopic level of modeling. The system`s parameters correspond to: (a) the proportion of speculators in a market; (b) the traders` speculative trend; (c) the degree of heterogeneity of idiosyncratic evaluations of the market agents with respect to the asset`s fundamental value; and (d) the strength of the feedback of the population excess demand on the asset price update increment. This correspondence allows us to employ our results in order to infer plausible causes for the emergence of price and demand fluctuations in a real asset market. The employment of dynamical systems for studying evolution of stochastic models of socio-economic phenomena is quite usual in the area of heterogeneous interacting agent models. However, in the vast majority of the cases present in the literature, these dynamical systems are one-dimensional. Our work is among the few in the area that construct and study analytically a two-dimensional dynamical system and apply it for explanation of socio-economic phenomena.

Nil graded self-similar algebras

In [19], [24] we introduced a family of self-similar nil Lie algebras L over fields of prime characteristic p > 0 whose properties resemble those of Grigorchuk and Gupta-Sidki groups. The Lie algebra L is generated by two derivations v(1) = partial derivative(1) + t(0)(p-1) (partial derivative(2) + t(1)(p-1) (partial derivative(3) + t(2)(p-1) (partial derivative(4) + t(3)(p-1) (partial derivative(5) + t(4)(p-1) (partial derivative(6) + ...))))), v(2) = partial derivative(2) + t(1)(p-1) (partial derivative(3) + t(2)(p-1) (partial derivative(4) + t(3)(p-1) (partial derivative(5) + t(4)(p-1) (partial derivative(6) + ...)))) of the truncated polynomial ring K[t(i), i is an element of N vertical bar t(j)(p) =0, i is an element of N] in countably many variables. The associative algebra A generated by v(1), v(2) is equipped with a natural Z circle plus Z-gradation. In this paper we show that for p, which is not representable as p = m(2) + m + 1, m is an element of Z, the algebra A is graded nil and can be represented as a sum of two locally nilpotent subalgebras. L. Bartholdi [3] andYa. S. Krylyuk [15] proved that for p = m(2) + m + 1 the algebra A is not graded nil. However, we show that the second family of self-similar Lie algebras introduced in [24] and their associative hulls are always Z(p)-graded, graded nil, and are sums of two locally nilpotent subalgebras.

Shielding of ionic interactions by sulfur dioxide in an ionic liquid

The effect of adding SO(2) on the structure and dynamics of 1-butyl-3-methylimidazolium bromide (BMIBr) was investigated by low-frequency Raman spectroscopy and molecular dynamics (MD) simulations. The MD simulations indicate that the long-range structure of neat BMIBr is disrupted resulting in a liquid with relatively low viscosity and high conductivity, but strong correlation of ionic motion persists in the BMIBr-SO(2) mixture due to ionic pairing. Raman spectra within the 5 < omega < 200 cm(-1) range at low temperature reveal the short-time dynamics, which is consistent with the vibrational density of states calculated by MD simulations. Several time correlation functions calculated by MD simulations give further insights on the structural relaxation of BMIBr-SO(2).