Stochastic sensitivity of bull and bear states

Abstract We study the price dynamics generated by a stochastic version of Day–Huang type asset market model with heterogenous, interacting participants. To facilitate analysis, we introduce methodology that allows us to assess consequences changes in uncertainty on an process close stable equilibria. In particular, focus noise-induced transitions between bull and bear states under additive as well parametric noise. Our results are obtained combining sensitivity function (SSF) approach, mixture analytical numerical techniques, due Mil’shtein Ryashko (1995) concepts techniques from non-smooth 1D maps. find respective equilibria presence noise is higher than Thus, recurrent likely be observed already for relatively low intensities