Market Dynamics When Agents Anticipate Correlation Breakdown

Table 1

Fixed point solutions depending on parameter 𝜒₁.

Case	Asymptotic stability	Equilibrium price
𝜒1>1	𝑄0=(0,0) unstable	𝑃0=𝑃 unstable
	𝑄1=(𝜒1−1,−𝜆(𝜒1−1)) stable	𝑃1>𝑃 stable
	𝑄2=(−𝜒1+1,−𝜆(−𝜒1+1)) stable	𝑃2<𝑃 stable
−1≤𝜒1≤1	𝑄0=(0,0) stable	𝑃0=𝑃 stable
𝜒1<−1	2-period orbit {𝑤^∗3,𝑤^∗4},𝑤^∗3=−𝜒1−1,𝑤^∗4=𝜒1+1	2-period orbit (𝑃3,𝑃4)