Hindawi Publishing Corporation

Discrete Dynamics in Nature and Society

Volume 2016, Article ID 4907468, 15 pages
http://dx.doi.org/10.1155/2016/4907468

Research Article
Asset Price Dynamics in a Chartist-Fundamentalist Model with
Time Delays: A Bifurcation Analysis

Loretti I. Dobrescu,1 Mihaela Neamtu,2 and Gabriela Mircea3

1
School of Economics, University of New South Wales, Sydney, NSW 2052, Australia
2
Department of Economic Modelling, West University of Timisoara, 16 A J. H. Pestalozzi Street,
300115 Timisoara, Romania
3
Department of Business Information Systems, West University of Timisoara, 16 A J. H. Pestalozzi Street,
300115 Timisoara, Romania

Correspondence should be addressed to Loretti I. Dobrescu; dobrescu@unsw.edu.au

Received 25 November 2015; Accepted 11 January 2016

Academic Editor: Zhengqiu Zhang

Copyright © 2016 Loretti I. Dobrescu et al. This is an open access article distributed under the Creative Commons Attribution
License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly
cited.

This paper studies the dynamic behavior of asset prices using a chartist-fundamentalist model with two speculative markets. To
this effect, we employ a differential system with delays à la Dibeh (2007) to describe the price dynamics and we assume that the two
markets are coupled via diffusive coupling terms. We study two different time delay cases, namely, when both markets experience
the same time delay and when the time delay is different across markets. First, we theoretically determine that the equilibrium exists
and investigate its stability. Second, we establish the general conditions for the existence of local Hopf bifurcations and analyze their
direction and stability. The common conclusion from both the delay scenarios we consider is that coupled speculative markets with
heterogeneous agents in each, but with different price dynamics, can be synchronized through diffusive coupling. Finally, we provide
some numerical illustrations to confirm our theoretical findings.

1. Introduction
When it comes to financial markets dynamics, there is wide
consensus that the Efficient Market Hypothesis (EMH) is the
standard theory [1]. This theory however fails to explain or
predict situations when, for instance, speculative booms are
followed by severe crashes. In other words, it cannot explain
the excess volatility in these financial markets. As a result,
several models have been developed in the last decade to
describe markets fluctuations [1–12]. For instance, Dibeh [5]
considers a market with two types of participants, namely,
fundamentalists and chartists. The first categories of agents
follow the EMH theory and base their decisions (and hence
their demand formation) on the difference between the actual
asset price and the fundamental asset price. On the other
hand, the chartists base their market participation decision
on the price trend of an asset. Thus, they attempt to exploit
past price information when deciding whether to purchase or
sell an asset. Specifically, Dibeh [5] used the following delay-
differential equation to describe the dynamics of asset prices:
𝑝̇ (𝑡) = (1 − 𝑚) tanh (𝑝 (𝑡) − 𝑝 (𝑡 − 𝜏)) 𝑝 (𝑡)
(1)
− 𝑚 (𝑝 (𝑡) − V) 𝑝 (𝑡) ,
where 𝑝(𝑡) is the actual asset price, V is the fundamental
asset price, and 𝑚 ∈ (0, 1) is the market fraction of funda-
mentalists. For chartists, the time delay 𝜏 was introduced to
capture the fact that they base the slope estimation of their
asset price trend on adaptive expectations that consider the
past values of the price trend slope. Simulation results showed
that there may exist limit cycles for (1), which could explain
the persistence of deviations from the fundamental price in
speculative markets. These findings are crucial, as Bouchaud
and Potters [13] found that, in models considering one asset
(i.e., one market), feedback mechanisms are the main driver
of market fluctuations, booms, and crashes.
2 Discrete Dynamics in Nature and Society
Using Hassard et al. [14], Qu and Wei [1] provided a
theoretical justification for the results in Dibeh [5]. Applying
the local Hopf bifurcation theory, they analytically inves-
tigated the existence of periodic oscillations for (1), which
depends on both the time delay 𝜏 and the market fraction
of fundamentalists 𝑚. Using the normal form theory and
center manifold theorem (see also [15, 16]), they derived the
sufficient conditions to determine the direction of Hopf bifur-
cation and the stability of the bifurcating periodic solutions.
In modern finance theory however one of the key ideas is
portfolio diversification. And once two or more risky assets
(or markets) are available to investors (beliefs on) correlation
in price/returns also becomes an investment decision factor.
But could agents’ beliefs about returns correlation generate
comovements in risky assets prices? And how can markets
become interdependent? For instance, to what extent may
the price dynamics in one market be affected by changes in
agents’ behavior and beliefs in the alternative market?
In one of the first attempts to tackle these questions,
Chiarella et al. [17] developed a discrete time model that
combines the chartists-fundamentalists setup with the clas-
sical model of diversification between one risk-free and two
risky assets. Their analysis showed how chartists’ beliefs and
behavior may cause increasingly irregular price fluctuations
that can be transmitted from one market to another. Fur-
thermore, extending his previous work on models involving
one asset (or one market), Dibeh [18] studied the role
of feedback mechanism in synchronization and contagion
effects (i.e., high asset prices correlation) between different
markets. To this effect, the author used a nonlinear chartist-
fundamentalist model with two markets coupled through a
position feedback mechanism given by the price differential
between the asset prices.
Drawing on the work in Dibeh [18], in this paper we
consider the following system:
𝑝̇ 1 (𝑡) = (1 − 𝑚1 ) tanh (𝑝1 (𝑡) − 𝑝1 (𝑡 − 𝜏1 )) 𝑝1 (𝑡)
− 𝑚1 (𝑝1 (𝑡) − V1 ) 𝑝1 (𝑡)
+ 𝑞1 (𝑝2 (𝑡) − 𝑝1 (𝑡)) ,
(2)
𝑝̇ 2 (𝑡) = (1 − 𝑚2 ) tanh (𝑝2 (𝑡) − 𝑝2 (𝑡 − 𝜏2 )) 𝑝2 (𝑡)
− 𝑚2 (𝑝2 (𝑡) − V2 ) 𝑝2 (𝑡)
+ 𝑞2 (𝑝1 (𝑡) − 𝑝2 (𝑡)) ,
where 𝑚𝑖 ∈ (0, 1), 𝑖 = 1, 2, are the market shares of
fundamentalists, 𝜏𝑖 ≥ 0, 𝑖 = 1, 2, are time delays, V𝑖 > 0,
𝑖 = 1, 2, denote the fundamental asset prices, 𝑞𝑖 ≥ 0, 𝑖 = 1, 2,
represent the coupling strength between the two markets, and
𝐼𝑡 = 𝑝1 (𝑡) − 𝑝2 (𝑡) denotes an asset’s market index. Note that
the expectations function of the chartists is nonlinear, which
is conveyed through the hyperbolic tangent function. This
formulation represents the chartists’ belief that price growth
rates are bounded and so it introduces a saturation effect
into the chartists demand function. Previous results showed
that the synchronization of coupled speculative markets with
different dynamics can occur through diffusive coupling.
When going from an uncoupled to a coupled market model,
the stable converging dynamics is replaced with limit cycle
oscillations around the fundamental prices. Thus, coupling
and contagion between financial markets can be responsible
for the transmission of fluctuations across these markets and
appear crucial for their stability [19].
Here is the rationale. The global financial system is
formed of a multitude of very diverse markets, located all
around the world, and those trade wide-ranging classes of
assets. One of their common denominators is that assets price
changes often respond to the same economic information and
market news [20–22]. This dependency on the same signals
leads to price variations that are often correlated. In other
words, the price time series can exhibit similar characteristics,
which implies that there is “coupling” between markets.
Moreover, Fenn et al. [19, 23] found that the strength of cor-
relations between many different assets increases following
a credit crisis (i.e., 2007-2008 one), as financial institutions
hold similar portfolios of assets [24]. This has important
implications for the robustness of financial markets [25]. If
many assets are correlated and prices fall, this can cause
several financial institutions to write down the value of their
assets. And these write-downs can then significantly impact
the credit relationships between different institutions [26].
The aim of this paper is to provide a detailed theoretical
analysis of the phenomenon of coupling and contagion
between markets from the bifurcation point of view. First, we
will analytically prove that a model involving two financial
markets with correlated prices has equilibrium points that are
locally asymptotically stable. Second, for these equilibrium
points, we will determine the specific values 𝜏1 and 𝜏2 (i.e.,
the time delay parameters of the two markets) for which a
Hopf bifurcation occurs. Finally, we will study the direction
of the Hopf bifurcation, as well as the stability and period of
the bifurcating periodic solutions.
We choose the time delays 𝜏1 and 𝜏2 as bifurcation param-
eters as they represent the “memory” of financial markets.
Frank [27] discusses extensively the importance of time
delays in modeling financial markets memory and their effect
on the qualitative behavior of asset prices. Relatedly, in a 2001
paper, LeBaron [28] also discusses the importance of time
horizons in agent-based computational economics. Other
works that use time delays as parameters of bifurcations
include Hale and Lunel [29], Hassard et al. [14], Mircea et al.
[10], Qu and Wei [1], and Xu and Li [30].
The paper proceeds as follows. In Section 2 we determine
the equilibrium points of differential system (2) for V1 ≠
V2 . Section 3 investigates the local asymptotic stability of the
equilibrium points and establishes the existence of the Hopf
bifurcation for these points. Section 4 deals with the direction
and the stability of the Hopf bifurcation. In Section 5 we use
numerical simulations to illustrate the validity of our main
results. Section 6 concludes the paper.
Discrete Dynamics in Nature and Society 3

2. Existence and Stability of Proof. The proof follows from 𝑎3 > 0 and 𝑎2 < 0, for any 𝑚𝑖 ∈
the Equilibrium Points (0, 1) and V𝑖 > 0, 𝑖 = 1, 2, and 𝑎0 (𝑞20 ) = 0, 𝑎1 (𝑞21 ) = 0.

Consider the model given by system (2). Since time delays do Proposition 2. Let
not change, the equilibrium points of this model are given by
the solutions of the system: (3𝑎1 𝑎3 − 𝑎2 2 )
𝑝= ,
3𝑎3 2
𝑚1 (𝑝1 − V1 ) 𝑝1 − 𝑞1 (𝑝2 − 𝑝1 ) = 0,
(3)
𝑚2 (𝑝2 − V2 ) 𝑝2 − 𝑞2 (𝑝1 − 𝑝2 ) = 0, (27𝑎0 𝑎3 2 − 9𝑎1 𝑎2 𝑎3 + 2𝑎2 3 ) (11)
𝑞= ,
27𝑎3 3
where V𝑖 > 0 and 𝑚𝑖 ∈ (0, 1) and 𝑞𝑖 > 0, for 𝑖 = 1, 2. The
solution to system (3) is 𝑝1 = 𝑝2 = 0. To find the solution of 𝑞2 𝑝3
system (3) with 𝑝𝑖 > 0 and 𝑞𝑖 > 0, 𝑖 = 1, 2, we proceed as Δ= + ,
4 27
follows.
where 𝑎3 , 𝑎2 , 𝑎1 , and 𝑎0 are given in (8). The equilibrium point
First, from (3) it follows that
of system (2) is 𝐸0 (𝑝10 , 𝑝20 ), where
𝑝2 1/3 1/3
𝑝1 = (𝑞 − 𝑚2 V2 + 𝑚2 𝑝2 ) , 𝑞 𝑞 𝑎
𝑞2 2 𝑝20 = (− + √Δ) + (− − √Δ) − 2 ,
(4) 2 2 (3𝑎3 )
𝑝 (12)
𝑝2 = 1 (𝑞1 − 𝑚1 V1 + 𝑚1 𝑝1 ) , 𝑝 (𝑚 𝑝 − 𝑚2 V2 + 𝑞2 )
𝑞1 𝑝10 = 20 2 20 .
𝑞2
which yields For 𝑚𝑖 ∈ (0, 1) and V𝑖 > 0, 𝑖 = 1, 2 fixed, the coordinates of 𝐸0
𝑞 are positive.
𝑝𝑖 ≥ V𝑖 + 𝑖 , 𝑖 = 1, 2. (5)
𝑚𝑖
Proof. The proof follows from Lemma 1 and Cardan’s for-
Since 𝑝𝑖 > 0, from (5) it follows that the coupling mula, which give the positive solution of a 3rd-degree
coefficients 𝑞𝑖 , 𝑖 = 1, 2, satisfy the conditions: equation.
Let 𝐸0 (𝑝10 , 𝑝20 ) be an equilibrium point, different from
𝑞𝑖 < 𝑚𝑖 V𝑖 , 𝑖 = 1, 2. (6) (0,0), and let 𝑢1 (𝑡) = 𝑝1 (𝑡) − 𝑝10 , and 𝑢2 (𝑡) = 𝑝2 (𝑡) − 𝑝20 .
System (2) then becomes
From (4) it follows that 𝑝2 satisfies the following equation:
𝑢̇ 1 (𝑡) = 𝑎11 𝑢1 (𝑡) + 𝑎12 𝑢2 (𝑡) + 𝑏11 𝑢1 (𝑡 − 𝜏1 ) + 𝐹1 ,
𝑎3 𝑝2 3 + 𝑎2 𝑝2 2 + 𝑎1 𝑝2 + 𝑎0 = 0, (7) (13)
𝑢̇ 2 (𝑡) = 𝑎21 𝑢1 (𝑡) + 𝑎22 𝑢2 (𝑡) + 𝑏22 𝑢2 (𝑡 − 𝜏2 ) + 𝐹2 ,
where where
2 𝑎11 = (1 − 3𝑚1 ) 𝑝10 + 𝑚1 V1 − 𝑞1 ,
𝑎1 = 𝑚1 (𝑚2 V2 − 𝑞2 ) − 𝑞2 𝑚2 (𝑚1 V1 − 𝑞1 ) ,

𝑎2 = −2𝑚1 𝑚2 (𝑚2 V2 − 𝑞2 ) , 𝑎12 = 𝑞1 ,

(8)
𝑎3 = 𝑚1 𝑚2 2 , 𝑏11 = − (1 − 𝑚1 ) 𝑝10 ,
(14)
𝑎21 = 𝑞2 ,
𝑎0 = 𝑞2 (𝑚2 V2 (𝑚1 V1 − 𝑞1 ) − 𝑞2 𝑚1 V1 ) .
𝑎22 = (1 − 3𝑚2 ) 𝑝20 + 𝑚2 V2 − 𝑞2 ,
Let
𝑏22 = − (1 − 𝑚2 ) 𝑝20 .
𝑚2 V2 (𝑚1 V1 − 𝑞1 )
𝑞20 = , (9) The terms 𝐹1 , 𝐹2 are given by
(𝑚1 V1 )
𝐹1 = 𝑙1 𝑢1 (𝑡)2 + 𝑙2 𝑢1 (𝑡) 𝑢1 (𝑡 − 𝜏1 ) + 𝑙3 𝑢1 (𝑡)3
and let 𝑞21 , 𝑞22 be the roots of
2
+ 𝑙4 𝑢1 (𝑡)2 𝑢1 (𝑡 − 𝜏1 ) + 𝑙5 𝑢1 (𝑡) 𝑢1 (𝑡 − 𝜏1 )
𝑚1 𝑥2 − 𝑚2 (2𝑚1 V2 + 𝑚1 V1 − 𝑞1 ) 𝑥 + 𝑚1 𝑚2 2 V22 = 0. (10)
3
+ 𝑙6 𝑢1 (𝑡 − 𝜏1 ) + h.o.t,
Lemma 1. Let 𝑚𝑖 ∈ (0, 1), V𝑖 > 0, 𝑖 = 1, 2, and 𝑞1 ∈ (0, 𝑚1 V1 )
(15)
is fixed. If
𝐹2 = 𝑘1 𝑢2 (𝑡)2 + 𝑘2 𝑢2 (𝑡) 𝑢2 (𝑡 − 𝜏2 ) + 𝑘3 𝑢2 (𝑡)3
(i) 𝑞2 ∈ (0, 𝑞20 ), then 𝑎0 > 0, 𝑎1 > 0, 𝑎2 < 0, 𝑎3 > 0; 2
+ 𝑘4 𝑢2 (𝑡)2 𝑢2 (𝑡 − 𝜏2 ) + 𝑘5 𝑢2 (𝑡) 𝑢2 (𝑡 − 𝜏2 )
(ii) 𝑞2 ∈ (𝑞20 , 𝑞21 ), then 𝑎0 < 0, 𝑎1 > 0, 𝑎2 < 0, 𝑎3 > 0;
3
(iii) 𝑞2 ∈ (𝑞21 , 𝑚2 V2 ), then 𝑎0 < 0, 𝑎1 < 0, 𝑎2 < 0, 𝑎3 > 0. + 𝑘6 𝑢2 (𝑡 − 𝜏2 ) + h.o.t,
4 Discrete Dynamics in Nature and Society

with 𝑙𝑖 , 𝑘𝑖 , 𝑖 = 1, 2, being given by 0 are relevant. The other two cases (that involve 𝜏2 = 0)
are however needed methodologically, as they allow us to
𝑙1 = (1 − 2𝑚1 ) 𝑝10 , derive some of the results that we need when analyzing the
economically relevant cases.
𝑙2 = − (1 − 2𝑚1 ) 𝑝10 ,
𝑝10 Case 1. If 𝜏1 = 𝜏2 = 0, then
𝑙3 = − (1 − 𝑚1 ) ,
3 𝑙 (𝜆, 0, 0) = 𝜆2 − (𝛽1 + 𝛽3 + 𝛽5 ) 𝜆 + 𝛽2 + 𝛽4 + 𝛽6 + 𝛽7 . (19)
𝑙4 = (1 − 𝑚1 ) 𝑝10 , Using (14) and (18), the equation 𝑙(𝜆, 0, 0) = 0 becomes

𝑙5 = − (1 − 𝑚1 ) 𝑝10 , 𝜆2 − (2𝑚1 𝑝10 + 2𝑚2 𝑝20 − (𝑚1 + 𝑚2 ) V2 + 𝑞1 + 𝑞2 ) 𝜆

𝑝10 + (4𝑚1 𝑚2 + 1) 𝑝10 𝑝20 − 2𝑚1 (𝑚2 V2 − 𝑞2 ) 𝑝10 (20)

𝑙6 = (1 − 𝑚1 ) ,
3 − 2𝑚2 (𝑚1 V1 − 𝑞1 ) − 𝑞1 𝑞2 = 0.
(16)
𝑘1 = (1 − 2𝑚2 ) 𝑝20 , The necessary and sufficient conditions for (20) to admit roots
𝑘2 = − (1 − 2𝑚2 ) 𝑝20 , with a negative real part are
(2𝑚1 𝑝10 − 4𝑚1 𝑚2 + 1) 𝑝10 𝑝20 − 2𝑚1 (𝑚2 V2 − 𝑞2 ) 𝑝10
𝑝20
𝑘3 = − (1 − 𝑚2 ) ,
3 − 2𝑚2 (𝑚1 V1 − 𝑞1 ) − 𝑞1 𝑞2 > 0, (21)
𝑘4 = (1 − 𝑚2 ) 𝑝20 , 2𝑚1 𝑝10 + 2𝑝10 − (𝑚1 + 𝑚2 ) V2 + 𝑞1 + 𝑞2 < 0.
𝑘5 = − (1 − 𝑚2 ) 𝑝20 , If the conditions in (21) hold, then the equilibrium point
𝐸0 (𝑝10 , 𝑝20 ) is locally asymptotically stable.
𝑝20
𝑘6 = (1 − 𝑚2 ) .
3
3. The Local Stability of the Hopf Bifurcation
The characteristic function for the linear part of (13) is
given by In the analysis of the Hopf bifurcation, we consider 𝜏1 and
𝜏2 as parameters and 𝐸0 (𝑝10 , 𝑝20 ) as an equilibrium point
𝑙 (𝜆, 𝜏1 , 𝜏2 ) = 𝜆2 − 𝛽1 𝜆 + 𝛽2 − (𝛽3 𝜆 − 𝛽4 ) 𝑒−𝜆𝜏1 for which one of the situations presented in Proposition 2 is
(17) verified.
− (𝛽5 𝜆 − 𝛽6 ) 𝑒−𝜆𝜏2 + 𝛽7 𝑒−𝜆(𝜏1 +𝜏2 ) ,
Case 2. If 𝜏1 = 𝜏2 = 𝜏 > 0, the characteristic function (17)
where becomes
𝑙 (𝜆, 𝜏, 𝜏) = 𝜆2 − 𝛽1 𝜆 + 𝛽2 − (𝛽8 𝜆 − 𝛽9 ) 𝑒−𝜆𝜏
𝛽1 = 𝑎11 + 𝑎22 , (22)
𝛽2 = 𝑎11 𝑎22 − 𝑎12 𝑎12 , + 𝛽7 𝑒−2𝜆𝜏 ,
where
𝛽3 = 𝑏11 ,
𝛽8 = 𝛽3 + 𝛽5 ,
𝛽4 = 𝑎22 𝑏11 , (18) (23)
𝛽9 = 𝛽4 + 𝛽6 .
𝛽5 = 𝑏22 ,
We now rewrite (22) as
𝛽6 = 𝑎11 𝑏22 , 𝑒𝜆𝜏 (𝜆2 − 𝛽1 𝜆 + 𝛽2 ) − 𝛽8 𝜆 + 𝛽9 + 𝛽7 𝑒−𝜆𝜏 = 0, (24)
𝛽7 = 𝑏11 𝑏22 . noting that when 𝜏 > 0, 𝜆 = 𝑖𝜔 (𝜔 > 0) is a root of (24) if
and only if 𝜔 satisfies
In order to study the distribution of the roots of the
transcendental equation 𝑙(𝜆, 𝜏1 , 𝜏2 ) = 0, we use the lemma (𝛽2 + 𝛽7 − 𝜔2 ) cos (𝜔𝜏) + 𝛽1 𝜔 sin (𝜔𝜏) = −𝛽9 ,
in Ruan and Wei [31] (see Appendix A) and analyze (17) (25)
considering four cases: (i) 𝜏1 = 𝜏2 = 0, (ii) 𝜏1 = 𝜏2 > 0, (𝛽2 − 𝛽7 − 𝜔2 ) sin (𝜔𝜏) − 𝛽1 𝜔 cos (𝜔𝜏) = 𝛽8 𝜔.
(iii) 𝜏1 > 0, 𝜏2 = 0, and (iv) 𝜏1 > 0, 𝜏2 > 0. By direct computation, we have
We note that, generally, the analysis of an equation with
two delay parameters implies first studying the case when 𝛽9 (𝜔2 + 𝛽7 − 𝛽2 ) − 𝛽1 𝛽8 𝜔2
one delay parameter is zero and the other one is different cos (𝜔𝜏) = ,
(𝛽2 + 𝛽7 − 𝜔2 ) (𝛽2 − 𝛽7 − 𝜔2 ) + 𝛽12 𝜔2
from zero. For this purpose, we set 𝜏2 = 0. The next step (26)
is to set 𝜏2 = 0 as a variable and determine the value (of 𝛽8 𝜔 (𝛽2 + 𝛽7 − 𝜔2 ) − 𝛽1 𝛽9 𝜔
𝜏2 = 0) for which a Hopf bifurcation occurs. From a practical sin (𝜔𝜏) = .
point of view, only the cases 𝜏1 = 𝜏2 > 0 and 𝜏1 > 0, 𝜏2 > (𝛽2 + 𝛽7 − 𝜔2 ) (𝛽2 − 𝛽7 − 𝜔2 ) + 𝛽12 𝜔2
Discrete Dynamics in Nature and Society 5

Using cos(𝜔𝜏)2 + sin(𝜔𝜏)2 = 1, from (26), it follows that Assuming that the following conditions hold:

𝜔8 + 𝛾6 𝜔6 + 𝛾4 𝜔4 + 𝛾2 𝜔2 + 𝛾0 = 0, (27) 𝛾0 < 0,

𝛾6 = 2 (𝛽12 − 2𝛽2 ) − 𝛽82 , 𝑧10 > 0, ℎ (𝑧10 ) < 0, when 𝐷0 > 0,

(34)
𝛾4 𝑧20 > 0, ℎ (𝑧20 ) < 0, when 𝐷0 = 0,

2 𝑧30 > 0, ℎ (𝑧30 ) < 0, when 𝐷0 < 0,

= (𝛽12 − 2𝛽2 ) + 2 (𝛽22 − 𝛽72 )
the equation ℎ(𝑧) = 0 has at least one positive root 𝑧0 . We
2
+ 2𝛽8 (𝛽8 (𝛽2 + 𝛽7 ) − 𝛽1 𝛽9 ) − (𝛽9 − 𝛽1 𝛽8 ) , denote 𝜔0 = √𝑧0 and define
𝛾2 (28) 1 Δ
𝜏𝑗 = [arccos ( 1 ) + 2𝑗𝜋] , 𝑗 = 0, 1, 2, . . . , (35)
𝜔0 Δ
= 2 (𝛽12 − 2𝛽2 ) (𝛽22 − 𝛽72 )
where
− 2 (𝛽9 − 𝛽1 𝛽8 ) (𝛽7 − 𝛽2 ) 𝛽9 Δ 1 = 𝛽9 (𝜔02 + 𝛽7 − 𝛽2 ) − 𝛽1 𝛽8 𝜔02 ,
2 (36)
− (𝛽8 (𝛽2 + 𝛽7 ) − 𝛽1 𝛽9 ) ,
Δ = (𝛽2 + 𝛽7 − 𝜔02 ) (𝛽2 − 𝛽7 − 𝜔02 ) + 𝛽12 𝜔02 .
2
𝛾0 = 𝛽22 − 𝛽72 − 𝛽9 (𝛽7 − 𝛽2 ) . From the above relations, we have the following result.
2
Denoting 𝑧 = 𝜔 , (27) yields Proposition 3. Let 𝛽𝑖 , 𝑖 = 1, . . . , 7, 𝛾6 , 𝛾4 , 𝛾2 , 𝛾0 , and 𝜏𝑗 be
4 3 2 given by (18), (28), and (36). Suppose that conditions (34) are
𝑧 + 𝛾6 𝑧 + 𝛾4 𝑧 + 𝛾2 𝑧 + 𝛾0 = 0. (29)
satisfied and that the positive root of (29) satisfies ℎ󸀠 (𝑧0 ) ≠
Let 0. Then, the equilibrium point 𝐸0 (𝑝10 , 𝑝20 ) is asymptotically
stable, when 𝜏 ∈ [0, 𝜏0 ), and it is unstable, when 𝜏 >
ℎ (𝑧) = 𝑧4 + 𝛾6 𝑧3 + 𝛾4 𝑧2 + 𝛾2 𝑧 + 𝛾0 , (30) 𝜏0 . Moreover, at 𝜏 = 𝜏𝑗 , 𝑗 = 0, 1, 2, . . . , ±𝑖𝜔0 is a pair
and define of simple imaginary roots of (29) and system (2) undergoes
Hopf bifurcation near 𝐸0 (𝑝10 , 𝑝20 ). If (29) does not have a
8𝛾4 − 3𝛾62 positive root, then the equilibrium point 𝐸0 (𝑝10 , 𝑝20 ) is locally
𝑝= ,
16 asymptotically stable for all 𝜏 ≥ 0.
𝛾63 − 4𝛾4 𝛾6 + 8𝛾2 Case 3. If 𝜏1 > 0 and 𝜏2 = 0, then 𝑙(𝜆, 𝜏1 , 0) = 0 becomes
𝑞= , (31)
32
𝜆2 − (𝛽1 + 𝛽5 ) 𝜆 + 𝛽2 + 𝛽6 − (𝛽3 𝜆 − 𝛽4 − 𝛽7 ) 𝑒−𝜆𝜏1
2 3
𝑞 𝑝 (37)
𝐷0 = + . = 0.
4 27
Then, from the sign of 𝐷0 , we have that For 𝜔 > 0, let 𝜆 = 𝑖𝜔 be a root of (37). It then follows that

𝛾 𝑞 𝑞 (𝛽4 + 𝛽7 ) cos (𝜔𝜏1 ) − 𝛽3 𝜔 sin (𝜔𝜏1 ) = 𝜔2 − 𝛽2 − 𝛽6 ,

𝑧10 = − 6 + √3 − + √𝐷0 + √3 − − √𝐷0 , (38)
4 2 2
(𝛽4 + 𝛽7 ) sin (𝜔𝜏1 ) + 𝛽3 𝜔 cos (𝜔𝜏1 ) = − (𝛽1 + 𝛽5 ) 𝜔,
if 𝐷0 > 0,
(32) which leads to
𝛾6 3 𝑞 𝛾 𝑞
𝑧20 = max {− + √ − , − 6 − √3 − } , if 𝐷0 = 0, 𝜔4 + 𝛿2 𝜔2 + 𝛿0 = 0, (39)
4 2 4 2
2
𝛿2 = (𝛽1 + 𝛽5 ) − 2 (𝛽2 + 𝛽6 ) − 𝛽32 ,
𝑧30 = max {𝑟10 , 𝑟20 , 𝑟30 } , if 𝐷0 < 0,
(40)
2 2
where 𝛿0 = (𝛽2 + 𝛽6 ) − (𝛽4 + 𝛽7 ) .
𝛾6 It is easy to see that if the conditions
𝑟10 = − + 2 Re (𝛼) ,
4
𝛾 𝛿2 > 0,
𝑟20 = − 6 + 2 Re (𝛼𝜀) , (33) (41)
4 𝛿0 > 0
𝛾
𝑟30 = − 6 + 2 Re (𝛼𝜀) , hold, then (39) has no positive roots. Hence, all the roots of
4 (37) have negative real parts when 𝜏1 ∈ [0, ∞].
and 𝛼 is one of the cubic roots of the complex number −𝑞/2 + 2
If 𝛿0 < 0, then (39) has a unique positive root 𝜔10 .
√𝐷0 , and 𝜀 = −1/2 + 𝑖(√3/2). 2
Substituting 𝜔10 into (38), we obtain
6 Discrete Dynamics in Nature and Society

2 2 2 2
[arccos (((𝜔10 − 𝛽2 − 𝛽6 ) (𝛽2 + 𝛽7 ) − 𝛽3 (𝛽1 + 𝛽5 ) 𝜔10 ) / ((𝛽1 + 𝛽7 ) + 𝛽3 𝜔10 )) + 2𝑗𝜋]
𝜏1𝑗 = , (42)
𝜔10

2 2
with 𝑗 = 0, 1, 2, . . .. If the conditions hold, then (39) has two positive roots 𝜔10+ and 𝜔10− . Substi-
2
tuting 𝜔10± into (38), we obtain
𝛿2 < 0,
(43)
𝛿0 > 0

2 2 2 2
[arccos (((𝜔10± − 𝛽2 − 𝛽0 ) (𝛽2 + 𝛽7 ) − 𝛽3 (𝛽1 + 𝛽5 ) 𝜔10± ) / ((𝛽1 + 𝛽7 ) + 𝛽3 𝜔10± )) + 2𝑘𝜋]
𝜏1𝑘± = , (44)
𝜔10±

with 𝑘 = 0, 1, 2, . . .. (ii) If (43) holds, then there is a positive integer 𝑚 such

Let 𝜆(𝜏1 ) = 𝛼(𝜏1 ) + 𝑖𝜔(𝜏1 ) be a root of (37) near that the equilibrium point 𝐸0 (𝑝10 , 𝑝20 ) is asymptot-
𝜏1 = 𝜏1𝑛 , (𝑛 = 0, 1, 2, . . .) and 𝛼(𝜏1𝑛 ) = 0, 𝜔(𝜏1𝑛 ) = 𝜔0 . ically stable when 𝜏1 ∈ [0, 𝜏10+ ] ∪ [𝜏10− , 𝜏11+ ] ∪
According to the functional differential equation theory, for ⋅ ⋅ ⋅ ∪ [𝜏1𝑚−1− , 𝜏1𝑚+ ], and it is unstable when 𝜏1 ∈
every 𝜏1𝑛 (𝑛 = 0, 1, 2, . . .), there exists 𝜀 > 0 such that 𝜆(𝜏1 ) is [𝜏10+ , 𝜏10− ]∪[𝜏11+ , 𝜏11− ]∪⋅ ⋅ ⋅∪[𝜏1𝑚+ , 𝜏1𝑚− ]∪[𝜏1𝑚+ , ∞].
continuously differentiable in 𝜏1 for |𝜏1 −𝜏1𝑛 | < 𝜀. Substituting Moreover, at 𝜏1 = 𝜏1𝑘± , 𝑘 = 0, 1, 2, . . ., system (2)
𝜆(𝜏1 ) into the LHS of (37) and taking derivative with respect undergoes Hopf bifurcation at 𝐸0 (𝑝10 , 𝑝20 ), where 𝜏1𝑘±
to 𝜏1 yield are given by (44).
−1 Case 4. Let 𝜏1 > 0 and 𝜏2 > 0. We consider (17), with 𝜏1 in its
𝑑𝜆 (𝜏1 ) − (2𝜆 − 𝛽1 − 𝛽5 ) 𝑒𝜆𝜏1 + 𝛽3 𝜏1
( ) = − , (45) stable interval [0, 𝜏10 ], and regard 𝜏2 as a parameter. Without
𝑑𝜏1 𝜆 (𝛽3 𝜆 − 𝛽4 − 𝛽7 ) 𝜆
loss of generality, we assume that 𝛿0 < 0 and let 𝜆 = 𝑖𝜔 (𝜔 >
which leads to 0) be a root of (17). Then, we can obtain

−1 (𝛽6 + 𝛽7 cos (𝜔𝜏1 )) cos (𝜔𝜏2 )

𝑑 Re (𝜆 (𝜏1 ))
( ) = √𝛿22 − 4𝛿0 . (46)
𝑑𝜏1 𝜏 =𝜏
− (𝛽5 𝜔 + 𝛽7 sin (𝜔𝜏1 )) sin (𝜔𝜏2 ) = 𝜔2 − 𝛽2
1 1𝑛

− 𝛽4 cos (𝜔𝜏1 ) + 𝛽3 𝜔 sin (𝜔𝜏1 ) ,

Since sign(𝑑 Re(𝜆(𝜏1 ))/𝑑𝜏1 )−1
𝜏1 =𝜏1𝑛 = sign(Re(𝑑𝜆(𝜏1 )/ (49)
𝑑𝜏1 ))−1
𝜏1 =𝜏1𝑛 , we have that (𝛽5 𝜔 + 𝛽7 sin (𝜔𝜏1 )) cos (𝜔𝜏2 )

𝑑 Re (𝜆 (𝜏1 )) 󵄨󵄨󵄨󵄨 + (𝛽6 + 𝛽7 cos (𝜔𝜏1 )) sin (𝜔𝜏2 ) = −𝛽1 𝜔

󵄨󵄨 > 0. (47)
𝑑𝜏1 󵄨󵄨 − 𝛽3 𝜔 cos (𝜔𝜏1 ) − 𝛽4 sin (𝜔𝜏1 ) ,
󵄨𝜏1 =𝜏1𝑛

Similarly, we can obtain which leads to

𝜔4 + 𝜀3 𝜔3 + 𝜀2 𝜔2 + 𝜀1 𝜔 + 𝜀0 = 0,
𝑑 Re (𝜆 (𝜏1 )) 󵄨󵄨󵄨󵄨
(50)
󵄨󵄨 > 0,
𝑑𝜏1 󵄨󵄨 where
󵄨𝜏1 =𝜏1𝑘+
(48) 𝜀3 (𝜔) = 2𝛽3 sin (𝜔𝜏1 ) ,
𝑑 Re (𝜆 (𝜏1 )) 󵄨󵄨󵄨󵄨
󵄨󵄨 < 0.
𝑑𝜏1 󵄨󵄨
󵄨𝜏1 =𝜏1𝑘− 𝜀2 (𝜔) = 𝛽32 − 2𝛽2 − 2 (𝛽4 − 𝛽1 𝛽3 ) cos (𝜔𝜏1 ) ,
(51)
From the above analysis and Ruan and Wei [31, Corollary 𝜀1 (𝜔) = (2𝛽1 𝛽4 − 2𝛽2 𝛽3 ) sin (𝜔𝜏1 ) ,
2.4], we have the following result.
𝜀0 (𝜔) = (𝛽22 + 𝛽42 + 2𝛽1 𝛽4 ) cos (𝜔𝜏1 ) .
Proposition 4. For 𝜏2 = 0, assume that either condition (41) Denote
or condition (43) is satisfied. Then, the following results hold.
𝐾21 (𝜔) = 𝜔4 + 𝜀3 (𝜔) 𝜔3 + 𝜀2 (𝜔) 𝜔2 + 𝜀1 (𝜔) 𝜔
(i) If (41) holds, the equilibrium point 𝐸0 (𝑝10 , 𝑝20 ) is (52)
asymptotically stable for all 𝜏1 > 0. + 𝜀0 (𝜔) .
Discrete Dynamics in Nature and Society 7

We assume that there exists 𝜔0 > 𝑝 such that 𝐾21 (𝜔0 ) = 0. 𝜏1 = 𝜏10 + 𝜇, where 𝜏10 is given by (42) and 𝜇 ∈ R. Differential
For 𝜔0 , there exists a sequence {𝜏2𝑗 , 𝑗 = 1, 2, . . .} such that system (2) can be written as a FDE in 𝐶 = 𝐶([−1, 0], R2 ) as
(50) holds. follows:
Let 𝜏21 = max{𝜏2𝑖 , 𝑖 = 1, . . .}. When 𝜏2 = 𝜏21 , (17) has a
pair of purely imaginary roots ±𝑖𝜔21 , for 𝜏1 ∈ [0, 𝜏10 ). 𝑢̇ (𝑡) = 𝐿 𝜇 (𝑢𝑡 ) + 𝐹 (𝜇, 𝑢𝑡 ) , (56)
In the following we assume that
where 𝑢(𝑡) = (𝑢1 (𝑡), 𝑢2 (𝑡))𝑇 ∈ 𝐶 and 𝑢𝑡 (𝜙) = 𝑢(𝑡 + 𝜃) =
𝑑 Re (𝜆 (𝜏)) −1 (𝑢1 (𝑡 + 𝜃), 𝑢2 (𝑡 + 𝜃))𝑇 ∈ 𝐶. The terms 𝐿 𝜇 : 𝐶 → R and
( ) ≠ 0. (53) 𝐹 : R × 𝐶 → R are, respectively, given by
𝑑𝜏2 𝜆=𝑖𝜔21
𝜏2
Thus, by the general Hopf bifurcation theorem for FDEs in 𝐿 𝜇 𝜙 = 𝐴𝜙 (0) + 𝐵1 𝜙 (−1) + 𝐵2 𝜙 (− ),
𝜏10 (57)
Hale and Lunel [29], we have the following result on stability
and Hopf bifurcation for system (2). 𝑇
𝐹 (𝜇, 𝜙) = (𝐹11 (𝜙) , 𝐹12 (𝜙)) ,
Proposition 5. Assume that the above condition, where 𝜙(𝜃) = (𝜙1 (𝜃), 𝜙2 (𝜃))𝑇 ∈ 𝐶 and
(𝑑 Re(𝜆(𝜏))/𝑑𝜏2 )−1
𝜆=𝑖𝜔21 ≠ 0, is satisfied and that
𝜏1 ∈ [0, 𝜏10 ). Then, the equilibrium point 𝐸0 (𝑝10 , 𝑝20 ) is 𝑎11 𝑎12
𝐴=( ),
locally asymptotically stable when 𝜏2 ∈ [0, 𝜏21 ). Moreover, 𝑎21 𝑎22
when 𝜏2 = 𝜏21 , system (2) undergoes Hopf bifurcation at
𝐸0 (𝑝10 , 𝑝20 ). 𝑏11 0
𝐵1 = ( ),
0 0
If 𝜔21 is a positive root of (50), then 𝜏2𝑗 is given by
0 0 (58)
1 𝐻 𝐵2 = ( ),
𝜏2𝑗 = [arccos ( 21 ) + 2𝑗𝜋] , 𝑗 = 0, 1, 2, . . . , (54) 0 𝑏22
𝜔21 𝐿 21
where 𝐹11 (𝜙) = (𝜏10 + 𝜇) 𝐹1 (𝜙1 (0) , 𝜙1 (−1)) ,

𝐻21
2
= (𝜔21 − 𝛽2 − 𝛽1 cos (𝜔21 𝜏1 ) + 𝛽3 𝜔21 sin (𝜔21 𝜏1 ))
⋅ (𝛽6 + 𝛽7 cos (𝜔21 𝜏1 ))
− (𝜔21 𝛽1 + 𝛽3 𝜔21 cos (𝜔21 𝜏1 ) + 𝛽1 sin (𝜔21 𝜏1 ))
⋅ (𝛽2 𝜔21 + 𝛽7 sin (𝜔21 𝜏1 )) ,
2
𝐿 21 = (𝛽6 + 𝛽7 cos (𝜔21 𝜏1 ))
2 𝐿 𝜇 𝜙 = ∫ 𝑑𝜂 (𝜃, 𝜇) 𝜙 (𝜃) , for 𝜙 ∈ 𝐶.
+ (𝛽3 𝜔21 + 𝛽7 sin (𝜔21 𝜏1 )) .
𝜏2
𝐹12 (𝜙) = (𝜏10 + 𝜇) 𝐹2 (𝜙2 (0) , 𝜙2 (− )) ,
𝜏10
with 𝐹1 and 𝐹2 being given by (13).
From Section 3 we know that if 𝜇 = 0, then differential
system (2) undergoes a Hopf bifurcation at 𝐸0 (𝑝10 , 𝑝20 ) and
(55) the characteristic equation associated with system (2) has
a pair of simple imaginary roots ±𝑖𝜔10 𝜏10 . By the Reisz
representation theorem, there is a matrix function with
bounded variation components 𝜂(𝜃, 𝜇), 𝜃 ∈ [−1, 0] such that
0
(59)
−1

We can choose
4. The Direction and the Stability of 𝐴 1 + 𝐵11 + 𝐵12 , 𝜃=0
the Hopf Bifurcation {
{
{
{
{
{ 𝜏2
{
{𝐵11 + 𝐵12 , 𝜃 ∈ [− , 0)
In the previous section, we have obtained the condition for 𝜂 (𝜃, 𝜇) = { 𝜏10 (60)
the Hopf bifurcation to occur when 𝜏1 = 𝜏10 , where 𝜏10 is {
{ 𝜏
{
{ 𝐵11 , 𝜃 ∈ (−1, − 2 )
given by (42). Using the techniques from normal form and {
{ 𝜏10
{
center manifold theory introduced by Hassard et al. [14], we {0, 𝜃 = −1.
now derive the explicit formulae determining the direction,
stability, and periodicity of these solutions bifurcating from For 𝜙 ∈ 𝐶([−1, 0], R3 ), we define
the positive equilibrium 𝐸0 (𝑝10 , 𝑝20 ) at the critical value 𝜏1 =
𝜏10 . To this effect, we will use the first Lyapunov coefficient. 𝑑𝜙 (𝜃)
{
Throughout this section, we assume that differential { 𝑑𝜃 ,
{ 𝜃 ∈ [−1, 0)
𝐴 (𝜇) 𝜙 (𝜃) = { 0
system (2) undergoes a Hopf bifurcation at the positive {
{∫ 𝑑𝜂 (𝑠, 𝜇) 𝜙 (𝑠) , 𝜃 = 0,
equilibrium 𝐸0 (𝑝10 , 𝑝20 ) for 𝜏1 = 𝜏10 and that ±𝑖𝜔10 are { −1 (61)
the corresponding purely imaginary roots of the character-
istic equation at 𝐸0 (𝑝10 , 𝑝20 ). Without loss of generality, we {0, 𝜃 ∈ [−1, 0)
assume that 𝜏2 < 𝜏10 , where 𝜏2 ∈ (0, 𝜏21 ) and 𝜏21 is given 𝑅 (𝜇2 ) 𝜙 = {
𝐹 (𝜇, 𝜙) , 𝜃 = 0.
in (54). For convenience, let 𝑢𝑖 (𝑡) = 𝑢𝑖 (𝜏1 𝑡), 𝑖 = 1, 2, and {
8 Discrete Dynamics in Nature and Society

Then, (57) is equivalent to the abstract differential equation: We now turn to studying the stability of the bifurcating
periodic solution. As in Xu and Li [30], the bifurcating
𝑢̇ 𝑡 (𝑡) = 𝐴 (𝜇) 𝑢𝑡 + 𝑅 (𝜇) 𝑢𝑡 , (62) periodic solution 𝑍(𝑡, 𝜇(𝜀)) has amplitude 𝑂(𝜀) and nonzero
Floquet exponent 𝛽(𝜀), with 𝛽(0) = 0. Under these assump-
where 𝑢𝑡 = 𝑢(𝑡 + 𝜃), for 𝜃 ∈ [−1, 0]. tions, 𝜇 and 𝛽 are given by
For 𝜙 ∈ 𝐶([−1, 0], (R2 )∗ ), we define
−𝑑𝜓 (𝑠) 𝜇 = 𝜇2 𝜀2 + 𝜇4 𝜀4 + ⋅ ⋅ ⋅ ,
{
∗ { 𝑑𝑠 ,
{ 𝑠 ∈ (0, 1] (71)
𝐴 𝜓 (𝑠) = { 0 (63) 𝛽 = 𝛽2 𝜀2 + 𝛽4 𝜀4 + ⋅ ⋅ ⋅ .
{
{∫ 𝑑𝜂𝑇 (𝑡, 0) 𝜓 (𝑠) , 𝑠 = 0.
{ −1 The sign of 𝜇2 indicates the direction of the bifurcation, while
2
For 𝜙 ∈ 𝐶([−1, 0], R ) and 𝜓 ∈ 𝐶([0, 1], (R ) ), we define the 2 ∗ 𝛽2 determines the stability of 𝑍(𝑡, 𝜇(𝜀)), with 𝑍(𝑡, 𝜇(𝜀)) being
bilinear form stable if 𝛽2 < 0 and unstable if 𝛽2 > 0.
In what follows, we will show how to derive these
⟨𝜓, 𝜙⟩ = 𝜓 (0) 𝜙 (0) coefficients (i.e., 𝜇2 and 𝛽2 ). To this effect, we first construct
the coordinates needed to describe the center manifold Ω0
0 𝜃 (64)
near 𝜇 = 0, which is a local invariant, attracting a two-
−∫ ∫ 𝜓𝑇 (𝜉 − 𝜃) 𝑑𝜂 (𝜃) 𝜙 (𝜉) 𝑑𝜉,
−1 𝜉=0 dimensional manifold [30].
Let 𝑢𝑡 be the solution of (63) when 𝜇 = 0, and define
where 𝜂(𝜃) = 𝜂(𝜃, 0), 𝐴 = 𝐴(0), and 𝐴∗ are adjoint operators.
Following from Section 3 discussion, we also know that 𝑧 (𝑡) = ⟨𝑞∗ , 𝑢𝑡 ⟩ ,
±𝑖𝜔10 𝜏10 are eigenvalues of 𝐴(0), but they are also eigenvalues (72)
of 𝐴∗ . 𝑊 (𝑡, 𝜃) = 𝑢𝑡 (𝑡, 𝜃) − 2 Re (𝑧 (𝑡) , 𝑞 (𝜃)) .

Proposition 6. (i) If the eigenvector 𝑞 of 𝐴(𝜇) is given by On the center manifold Ω0 , we have 𝑊(𝑡, 𝜃) = 𝑊(𝑧(𝑡),
𝑇 𝑖𝜔10 𝜏10 𝜃 𝑧(𝑡), 𝜃), where
𝑞 (𝜃) = (1, 𝛼) 𝑒 , 𝜃 ∈ (−1, 0] , then (65)

𝑖𝜔 𝜏 − 𝑎11 − 𝑏11 𝑒−𝑖𝜔10 𝜏10 𝑧2 𝑧2

𝛼 = 10 10 . (66) 𝑊 (𝑧, 𝑧, 𝜃) = 𝑊20 (𝜃) + 𝑊11 (𝜃) 𝑧𝑧 + 𝑊02 (𝜃)
𝑎12 2 2 (73)
+ ⋅⋅⋅
(ii) If the eigenvector 𝑞∗ of 𝐴∗ is given by
1 𝑇 and 𝑧 and 𝑧 are local coordinates for the center manifold Ω0 in
𝑞∗ (𝑠) = (1, 𝛼∗ ) 𝑒𝑖𝜔10 𝜏10 𝑠 , 𝑠 ∈ [0, 1) , then (67) the direction of 𝑞∗ and 𝑞∗ . Note that 𝑊 is real if 𝑢𝑡 is real (i.e.,
𝜌
we consider only the real solutions). For the solution 𝑢𝑡 ∈ Ω0 ,
𝑖𝜔10 𝜏10 + 𝑎11 + 𝑏11 𝑒−𝑖𝜔10 𝜏10 since 𝜇 = 0, it follows that
𝛼∗ = − . (68)
𝑎21
𝑧̇ 1 (𝑡) = ⟨𝑞∗ , 𝑢̇ 𝑡 ⟩ = ⟨𝑞∗ , 𝐴 (𝜇) 𝑢𝑡 + 𝑅 (𝜇) 𝑢𝑡 ⟩
The proof is provided in Appendix A.
= 𝑖𝜔10 𝜏10 𝑧 (𝑡) (74)
Using ⟨𝑞, 𝑞∗ ⟩ = 1, we can obtain 𝜌 as follows:
+ 𝑞∗ (0) 𝐹 (0, 𝑊 (𝑡, 0) + 2 Re (𝑧 (𝑡) 𝑞 (𝜃))) .
∗
⟨𝑞, 𝑞 ⟩
= 𝑞∗ (0)𝑇 𝑞 (0) We can rewrite this equation as
0 𝜃
−∫ ∫ 𝑞∗𝑇 (𝜉 − 𝜃) 𝑑𝜂 (𝜃) 𝑞 (𝜉) 𝑑𝜉 𝑧̇ 1 (𝑡) = 𝑖𝜔10 𝜏10 𝑧 (𝑡) + 𝑔 (𝑧 (𝑡) , 𝑧 (𝑡)) , where (75)
𝜃=−1 𝜉=0
1 (69) 𝑧2 (𝑡) 𝑧2 (𝑡)
= (1 + 𝛼𝛼∗ ) 𝑔 (𝑧 (𝑡) , 𝑧 (𝑡)) = 𝑔20 + 𝑔11 𝑧 (𝑡) 𝑧 (𝑡) + 𝑔02
𝜌 2 2
(76)
1 𝜏 𝑧2 (𝑡) 𝑧 (𝑡)
+ [𝜏10 𝑏11 𝑒−𝑖𝜔10 𝜏10 + 2 𝑏22 𝛼𝛼∗ 𝑒−𝑖𝜔10 𝜏2 /𝜏10 ] + 𝑔21 + ⋅⋅⋅ .
𝜌 𝜏10 2
= 1.
In Appendix B, we show how to compute the 𝑔20 , 𝑔11 , 𝑔02 ,
Hence, we have and 𝑔21 coefficients explicitly. Using these coefficients, we can
𝜏2 therefore compute
𝜌 = 1 + 𝛼𝛼∗ + 𝜏10 𝑏11 𝑒−𝑖𝜔10 𝜏10 + 𝑏 𝛼𝛼∗ 𝑒−𝑖𝜔10 𝜏2 /𝜏10 . (70)
𝜏10 22 𝑖 𝑔
󵄨 󵄨2 1 󵄨 󵄨
𝐶1 (0) = (𝑔 𝑔 − 2 󵄨󵄨󵄨𝑔11 󵄨󵄨󵄨 − 󵄨󵄨󵄨𝑔02 󵄨󵄨󵄨) + 21 . (77)
∗
Similarly, we can verify that ⟨𝑞 (𝑠), 𝑞(𝜃)⟩ = 0. 2𝜔10 20 11 3 2
Discrete Dynamics in Nature and Society 9

From (77), it is easy to get the values of 𝑇2 , 𝜇2 , and 𝛽2 , as 22

follows:
20
Re (𝐶1 (0))
𝜇2 = − ,
Re 𝜆󸀠 (𝜏10 ) 18

Im (𝐶1 (0) + 𝜇2 Im (𝜆󸀠 (𝜏10 )))

p1 (t), p2 (t)
(78) 16
𝑇2 = − ,
𝜔10 𝜏10
14
𝛽2 = 2 Re (𝐶1 (0)) .
12
Using these results, we establish the following theorem on
the system trajectories properties. 10

Theorem 7 (see [14]). If all the conditions above are satisfied 8

0 50 100 150 200 250 300 350
(i.e., differential system (2) undergoes a Hopf bifurcation at the
Time t
positive equilibrium 𝐸0 (𝑝10 , 𝑝20 ) for 𝜏1 = 𝜏10 ), then
Figure 1: (𝑡, 𝑝1 (𝑡)) and (𝑡, 𝑝2 (𝑡)), for 𝜏 < 𝜏0 .
(i) 𝜇 = 0 is the Hopf bifurcation value of system (57);
(ii) 𝜇2 establishes the direction of the Hopf bifurcation: if
𝜇2 > 0 (< 0), then the Hopf bifurcation is supercritical
6.5
(subcritical) and the bifurcating periodic solution exists
for 𝜏1 > 𝜏10 (< 𝜏10 );
6
(iii) 𝛽2 determines the stability of the bifurcating periodic
solutions: if 𝛽2 < 0 (> 0), then the bifurcating periodic 5.5
solutions are stable (unstable);
(iv) 𝑇2 determines the period of the bifurcating periodic 5
I(t)

solutions: the period increases (decreases) if 𝑇2 > 0 (<

0). 4.5

4
5. Numerical Illustrations
3.5
To illustrate our results, we employ several numerical sim-
ulations. To this purpose, we set 𝑚𝑖 ∈ (0, 1) and V𝑖 > 0
3
(with 𝑖 = 1, 2) and choose 𝑞1 , 𝑞2 according to Lemma 1 and 0 50 100 150 200 250 300 350
Proposition 2. Specifically, let 𝑚1 = 0.2, 𝑚2 = 0.3, V1 = Time t
20, V2 = 10, and 𝑞1 = 2.5 < 𝑚1 V1 = 4. Using Lemma 1
and Proposition 2, we set 𝑞2 = 1.525. From Proposition 2, we Figure 2: (𝑡, 𝐼(𝑡)), for 𝜏 < 𝜏0 .
then get 𝑎3 = 0.18, 𝑎2 = −0.77, 𝑎1 = −0.251, and 𝑎0 = −2.44.
Using (9), we have that 𝑝10 = 16.53 and 𝑝20 = 11.95. With
this set of parameters, we obtain the following results: 20
(1) If 𝜏1 = 𝜏2 = 0, from (20) it follows that 𝜆 1 = −3.4302 19
and 𝜆 2 = −7.378. The system is therefore locally
asymptotically stable. 18

(2) If 𝜏1 = 𝜏2 = 𝜏, from (27) it follows that 𝜔0 = 17

0.6292394611 and from (35) it follows that 𝜏0 = 1.02.
p1 (t), p2 (t)

16
For 𝜏 < 𝜏0 , the system is asymptotically stable; for
𝜏 = 𝜏0 , it has a Hopf bifurcation; and for 𝜏 > 𝜏0 , it 15
is unstable.
14
The orbits (𝑡, 𝑝1 (𝑡)) (in black) and (𝑡, 𝑝2 (𝑡)) (in blue) are 13
given in Figures 1, 3, and 5 for 𝜏 < 𝜏0 , 𝜏 = 𝜏0 , and 𝜏 > 𝜏0 ,
respectively. Similarly, Figures 2, 4, and 6 plot the market 12
index (𝑡, 𝐼(𝑡)), where 𝐼(𝑡) = 𝑝1 (𝑡) − 𝑝2 (𝑡), for each of the three 11
cases. 0 20 40 60 80 100 120 140 160 180
Time t
(3) If 𝜏1 < 𝜏10 , 𝜏2 = 0; from (39) it follows that 𝜔10 =
12.265. From (42) it follows that 𝜏10 = 0.57185. For Figure 3: (𝑡, 𝑝1 (𝑡)) and (𝑡, 𝑝2 (𝑡)), for 𝜏 = 𝜏0 .
10 Discrete Dynamics in Nature and Society

7 16.5

6.5
16
6

5.5 15.5

p1 (t), p2 (t)
5
I(t)

15
4.5

4 14.5

3.5
14
3

2.5 13.5
0 20 40 60 80 100 120 140 160 180 0 50 100 150 200 250
Time t Time t

Figure 4: (𝑡, 𝐼(𝑡)), for 𝜏 = 𝜏0 . Figure 7: (𝑡, 𝑝1 (𝑡)) and (𝑡, 𝑝2 (𝑡)), for 𝜏 < 𝜏0 .

0.8
20
0.6
19

18 0.4

17 0.2
I(t)
p1 (t), p2 (t)

16
0
15
−0.2
14

13 −0.4

12
−0.6
0 50 100 150 200 250
11
0 50 100 150 200 250 300 Time t
Time t Figure 8: (𝑡, 𝐼(𝑡)), for 𝜏 < 𝜏0 .
Figure 5: (𝑡, 𝑝1 (𝑡)) and (𝑡, 𝑝2 (𝑡)), for 𝜏 > 𝜏0 .

𝜏1 < 𝜏10 , the system is locally asymptotically stable.

7 For 𝜏1 = 𝜏10 , the system has a Hopf bifurcation.
Finally, for 𝜏1 > 𝜏10 , the system is unstable.
6.5
(4) If 𝜏1 > 0, 𝜏2 > 0, let 𝜏1 = 0.5. From (50), using the plot
6 of the function 𝐾12 (𝜔), it follows that 𝜔21 = 9.5, and
5.5
from (55) we get that 𝜏21 = 0.1981. For 𝜏10 = 0.5 and
𝜏2 < 𝜏21 , the system is locally asymptotically stable. If
5 𝜏2 < 𝜏21 , the system has a Hopf bifurcation. Finally, if
I(t)

𝜏2 > 𝜏21 , the system is unstable.

4.5

4 The Lyapunov coefficients are 𝜇2 = 2.203985594, 𝑇2 =

8.289687798, and 𝛽20 = 89.44496112. Hence, the Hopf
3.5 bifurcation is supercritical and with increasing period, while
3 the bifurcating periodic solutions are unstable.
As before, for 𝜏2 < 𝜏21 , the orbits (𝑡, 𝑝1 (𝑡)) (in black) and
2.5 (𝑡, 𝑝2 (𝑡)) (in blue) are given in Figure 7, while Figure 8 plots
0 50 100 150 200 250 300
(𝑡, 𝐼(𝑡)), where 𝐼(𝑡) = 𝑝1 (𝑡) − 𝑝2 (𝑡) denotes the market index.
Time t
We thus can conclude that all numerical simulations
Figure 6: (𝑡, 𝐼(𝑡)), for 𝜏 > 𝜏0 . verify our previous theoretical findings.
Discrete Dynamics in Nature and Society 11

6. Conclusions Appendices
This paper considers a deterministic dynamic model with A. Data of Lemma A.1
delay for two financial markets that trade one asset. The deter-
ministic system is analyzed both analytically and numerically. Lemma A.1 (see [31, Corollary 2.4, page 867]). For the
We study two different cases of time delay, namely, when both transcendental equation
markets experience the same time delay and when the time
𝑛
delay is different across markets. The common conclusion
∑𝑃 (𝜆, 𝑒−𝜆𝜏1 , . . . , 𝑒−𝜆𝜏𝑛 )
from these two scenarios is that coupled speculative markets 𝑖=0
with chartists and fundamentalists in each, but with different (A.1)
𝑛
dynamics, can be synchronized through diffusive coupling. 𝑛 𝑖 −𝜆𝜏1 −𝜆𝜏𝑛
The stable converging dynamics is replaced with limit cycle = 𝜆 + ∑𝑃 (𝜆, 𝑒 ,...,𝑒 ) = 0,
𝑖=0
oscillations around the fundamental price. This qualitative
change in the dynamic behavior shows that coupling and where
contagion between different markets can indeed lead to
transmission of fluctuations across financial markets. Since 𝑃𝑖 (𝜆, 𝑒−𝜆𝜏1 , . . . , 𝑒−𝜆𝜏𝑛 )
the delay can lead to instability, the next natural step would
be to consider the stochastic approach. We leave this issue for = [𝛽1(𝑖) 𝜆𝑛−1 + ⋅ ⋅ ⋅ + 𝛽𝑛−1
(𝑖)
𝜆 + 𝛽𝑛(𝑖) ] 𝑒−𝜆𝜏𝑖 , (A.2)
future research.
In terms of contribution, our work ultimately provides a 𝑖 = 0, 1, . . . , 𝑛,
real-world application of bifurcation concepts to a situation
widely observed in the financial world. To this effect, we pro- as (𝜏1 , . . . , 𝜏𝑛 ) vary, the sum of the orders of the zeros of
vide a rigorous analysis of the dynamic properties of a model 𝑃(𝜆, 𝑒−𝜆𝜏1 , . . . , 𝑒−𝜆𝜏𝑛 ) in the open right half plane can change
that can successfully explain stylized facts related to financial only if a zero appears on or crosses the imaginary axis.
market behavior. Once established, the same methodology
could be easily implemented in economics, demography, and Proof of Proposition 6. (i) Let 𝑞(𝜃) be given by (66). It follows
social sciences in general, allowing further literature advances from above that
in these fields. For instance, this application fits well and can
be quickly integrated in the structural work done in these 𝐴𝑞 (0) = 𝑖𝜔10 𝜏10 𝑞 (0) , (A.3)
fields.
implying

𝑖𝜔10 𝜏10 − 𝑎11 − 𝑏11 𝑒−𝑖𝜔10 𝜏10 −𝑎12 1 0

𝜏10 ( −𝑖𝜔10 𝜏2 /𝜏10
)( ) = ( ). (A.4)
−𝑎21 𝑖𝜔10 𝜏10 − 𝑎22 − 𝑏22 𝑒 𝛼 0

As a result, (67) follows. B. Coefficients of Center Manifold

(ii) Let 𝑞∗ (𝑠) be given by (68). From
Following Hassard et al. [14], by substituting (63) in (75) we
∗ ∗ ∗ have
𝐴 𝑞 (0) = −𝑖𝜔10 𝜏10 𝑞 (0) , (A.5)
𝑊̇ = 𝑢̇ 𝑡 − 𝑧𝑞 ̇
̇ − 𝑧𝑞. (B.1)
∗
it follows that 𝛼 is given by (70). Hence,

𝑊̇ = 𝐴𝑊 − 2 Re [𝑞∗ (0) 𝐹 (𝑧, 𝑧) 𝑞 (𝜃)] + 𝑅𝑢𝑡

𝐴𝑊 − 2 Re [𝑞∗ (0) 𝐹 (𝑧, 𝑧) 𝑞 (𝜃)] , if 𝜃 ∈ [−1, 0) , if 𝜃 = [−1, 0) def

={ = 𝐴𝑊 (B.2)
𝐴𝑊 − 2 Re [𝑞∗ (0) 𝐹 (𝑧, 𝑧) 𝑞 (0)] + Re (𝑤 (0) + 2 Re (𝑧 (𝑡) 𝑞 (0))) , if 𝜃 = 0
+ 𝐻 (𝑧, 𝑧, 𝜃) ,

where Taking the derivative of 𝑊 with respect to 𝑡 in (74), we have

𝑧2 (𝑡)
𝐻 (𝑧, 𝑧, 𝜃) = ℎ20 (𝜃) + ℎ11 (𝜃) 𝑧 (𝑡) 𝑧 (𝑡)
2
𝑧2 (𝑡)
(B.3) 𝑊̇ = 𝑊𝑧 𝑧̇ + 𝑊𝑧 𝑧.̇ (B.4)
+ ℎ02 (𝜃) + ⋅⋅⋅ .
2
12 Discrete Dynamics in Nature and Society

𝜏2
From (74), (76), and (B.4), we obtain 𝑢2𝑡 (− ) = 𝛼𝑧𝑒−𝑖𝜔10 𝜏2 /𝜏10
𝜏10
𝑊̇ = (𝑊20 𝑧 + 𝑊11 𝑧 + ⋅ ⋅ ⋅) (𝑖𝜔10 𝜏10 𝑧 + 𝑔) 𝜏2 𝑧2
(B.5) + 𝛼𝑧𝑒𝑖𝜔10 𝜏2 /𝜏10 𝑊20
(2)
(− )
+ (𝑊11 𝑧 + 𝑊02 𝑧 + ⋅ ⋅ ⋅) (−𝑖𝜔10 𝜏10 𝑧 + 𝑔) , 𝜏10 2

(2) 𝜏2
+ 𝑊11 (− ) 𝑧𝑧
and substituting (74), (B.3), and (B.2) yields 𝜏10

(2) 𝜏2 𝑧2
𝑧2 + 𝑊02 (− ) + ⋅⋅⋅ .
𝑊̇ = (𝐴𝑊20 + ℎ20 ) + (𝐴𝑊11 + ℎ11 ) 𝑧𝑧 𝜏10 2
2
(B.6) (B.10)
𝑧2
+ (𝐴𝑊02 + ℎ02 ) + ⋅⋅⋅ .
2
Proposition B.1. The coefficients 𝑔20 , 𝑔11 , 𝑔02 , and 𝑔21 are
given by
Comparing the coefficients of (B.5) and (B.6), the following
equalities hold:

2𝜏10
(𝐴 − 2𝑖𝜔10 𝜏10 𝐼) 𝑊20 (𝑡) = −ℎ20 (𝜃) , (B.7) 𝑔20 = (𝑙1 + 𝑙2 𝑒−𝑖𝜔10 𝜏10 + 𝛼2 𝛼∗ (𝑘1
𝜌
𝐴𝑊11 (𝑡) = −ℎ11 (𝜃) , (B.8)
+ 𝑘2 𝑒−𝑖𝜔10 𝜏2 /𝜏10 )) ,

where 𝐼 is a 2 × 2 unity matrix. 𝜏10

𝑔11 = (𝑙 + 𝑙 (𝑒𝑖𝜔10 𝜏10 + 𝑒−𝑖𝜔10 𝜏10 ) + 𝛼2 𝛼∗ (𝑘1
From (75) and (76), we obtain 𝜌 1 2

+ 𝑘2 (𝑒𝑖𝜔10 𝜏2 /𝜏10 + 𝑒−𝑖𝜔10 𝜏2 /𝜏10 ))) ,

𝑔 (𝑧 (𝑡) , 𝑧 (𝑡)) = 𝑞∗ 𝐹 (𝑧, 𝑧)
2𝜏10
𝐹1 (𝑢1𝑡 (0) , 𝑢1𝑡 (−1)) 𝑔02 = (𝑙1 + 𝑙2 𝑒𝑖𝜔10 𝜏10 + 𝛼2 𝛼∗ (𝑘1 + 𝑘2 𝑒𝑖𝜔10 𝜏2 /𝜏10 )) ,
𝜏10 (B.9) 𝜌
= (1, 𝛼∗ ) ( 𝜏 ),
𝜌 𝐹2 (𝑢2𝑡 (0) , 𝑢2𝑡 (− 2 )) 2𝜏10 (1) (1)
𝜏10 𝑔21 = (𝑙1 (2𝑊11 (0) + 𝑊20 (0))
𝜌
(1) 1 (1)
where + 𝑙2 (𝑊11 (0) 𝑒−𝑖𝜔10 𝜏10 + 𝑊20 (0) 𝑒𝑖𝜔10 𝜏10
2
𝑇 1 (1)
𝑢𝑡 = (𝑢1𝑡 (𝜃) , 𝑢2𝑡 (𝜃)) (1)
+ 𝑊11 (−1) + 𝑊20 (−1)) + 3𝑙3 + 𝑙4 (𝑒𝑖𝜔10 𝜏10
2
= 𝑊 (𝑡, 𝜃) + 𝑧𝑞 (𝜃) + 𝑧𝑞 (𝜃) ,
+ 2𝑒−𝑖𝜔10 𝜏10 )) + 𝑙5 (2 + 𝑒−2𝑖𝜔10 𝜏10 ) + 3𝑙6 𝑒−2𝑖𝜔10 𝜏10
𝑞 (𝜃) = (1, 𝛼) 𝑒𝑖𝜔10 𝜏10 𝜃 ,

(1) 𝑧2 (1) + 𝛼∗ (𝑘1 (2𝛼𝑊11

(2) (2)
(0) + 𝛼𝑊20 (0))
𝑢1𝑡 (0) = 𝑧 + 𝑧 + 𝑊20 (0) + 𝑊11 (0) 𝑧𝑧
2
(2) 𝜏2 (2)
(1) 𝑧2 + 𝑘2 (𝛼𝑊11 (− ) + 𝛼𝑊11 (0) 𝑒−𝑖𝜔10 𝜏2 /𝜏10
+ 𝑊02 (0) + ⋅⋅⋅ , 𝜏10
2
𝛼 (2) 𝜏
(2) 𝑧2 (2) + 𝑊 (0) 𝑒−𝑖𝜔10 𝜏2 /𝜏10 + 𝛼𝛼𝑊20
(2)
(− 2 ))
𝑢2𝑡 (0) = 𝛼𝑧 + 𝛼𝑧 + 𝑊20 (0) + 𝑊11 (0) 𝑧𝑧 2 11 𝜏10
2
𝑧2 + 3𝑘3 𝛼2 𝛼 + 𝑘4 𝛼2 𝛼 (𝑒𝑖𝜔10 𝜏2 /𝜏10 + 2𝑒−𝑖𝜔10 𝜏2 /𝜏10 )
(2)
+ 𝑊02 (0) + ⋅⋅⋅ ,
2
+ 𝑘5 𝛼2 𝛼 (2 + 𝑒−𝑖𝜔10 𝜏2 /𝜏10 ) + 3𝑘6 𝛼2 𝛼𝑒−𝑖𝜔10 𝜏2 /𝜏10 ) .
𝑧2
𝑢1𝑡 (−1) = 𝑧𝑒−𝑖𝜔10 𝜏10 + 𝑧𝑒𝑖𝜔10 𝜏10 (1)
+ 𝑊20 (−1) (B.11)
2
(1) (1) 𝑧2
+ 𝑊11 (−1) 𝑧𝑧 + 𝑊02 (−1) Proof. Comparing the coefficients of (77) and (B.9), (B.10)
2
follows.
+ ⋅⋅⋅ ,
Discrete Dynamics in Nature and Society 13

Proposition B.2. The vectors, 𝑊11 (𝜃) and 𝑊20 (𝜃), are given
by 𝑖𝑔11
𝑊11 (𝜃) = − 𝑞 (0) 𝑒𝑖𝜔10 𝜏10 𝜃
𝜔10 𝜏10

𝑖𝑔20 𝑔11
𝑊20 (𝜃) = − 𝑞 (0) 𝑒𝑖𝜔10 𝜏10 𝜃 − 𝑞 (0) 𝑒−𝑖𝜔10 𝜏10 𝜃 + 𝐸1 ,
𝜔10 𝜏10 𝑖𝜔10 𝜏10
(B.12)
𝑖𝑔02
− 𝑞 (0) 𝑒−𝑖𝜔10 𝜏10 𝜃 + 𝐸2 𝑒2𝑖𝜔10 𝜏10 𝜃 ,
3𝜔10 𝜏10 where

−1
2𝑖𝜔10 𝜏10 − 𝑎11 − 𝑏11 𝑒−2𝑖𝜔10 𝜏10 −𝑎12 2𝑙1 + 2𝑙2 𝑒−𝑖𝜔10 𝜏10
𝐸2 = ( ) ( 2 ),
−𝑎21 2𝑖𝜔10 𝜏10 − 𝑎22 − 𝑏22 𝑒−2𝑖𝜔10 𝜏2 /𝜏10 2𝛼 (𝑘1 + 𝑘2 𝑒−𝑖𝜔10 𝜏2 /𝜏10 )
(B.13)
−1
−𝑎11 − 𝑏11 −𝑎12 𝑙1 + 𝑙2 (𝑒𝑖𝜔10 𝜏10 + 𝑒−𝑖𝜔10 𝜏10 )
𝐸1 = ( ) ( ).
−𝑎21 −𝑎22 − 𝑏22 𝛼𝛼 (𝑘1 + 𝑘2 (𝑒𝑖𝜔10 𝜏2 /𝜏10 + 𝑒−𝑖𝜔10 𝜏2 /𝜏10 ))

Proof. First, we use (B.2) to obtain From (B.15) and the definition of 𝐹(𝜇, 𝜙), we have that

𝐻 (𝑧, 𝑧, 𝜃) = −2 Re [𝑞∗ (0) 𝐹 (𝑧, 𝑧) 𝑞 (𝜃)] + 𝑅𝑢𝑡

= −𝑔𝑞 (𝜃) − 𝑔 𝑞 (𝜃) + 𝑅𝑢𝑡 ℎ20 (0)

1 1 = −𝑔20 𝑞 (𝜃) − 𝑔20 𝑞 (𝜃)

= − ( 𝑔20 𝑧2 + 𝑔11 𝑧𝑧 + 𝑔02 𝑧2 + ⋅ ⋅ ⋅) 𝑞 (𝜃) (B.14)
2 2
2𝑙1 + 2𝑙2 𝑒−𝑖𝜔10 𝜏10
1 1 + 𝜏0 ( 2 ),
− ( 𝑔20 𝑧2 + 𝑔11 𝑧𝑧 + 𝑔02 𝑧2 + ⋅ ⋅ ⋅) 𝑞 (𝜃) 2𝛼 (𝑘1 + 𝑘2 𝑒−𝑖𝜔10 𝜏2 /𝜏10 )
2 2
(B.19)
+ 𝑅𝑢𝑡 . ℎ11 (0)

Comparing the coefficients with (B.3), for 𝜃 ∈ (−1, 0], we = −𝑔11 𝑞 (𝜃) − 𝑔11 𝑞 (𝜃)
obtain
𝑙1 + 𝑙2 (𝑒𝑖𝜔10 𝜏10 + 𝑒−𝑖𝜔10 𝜏10 )
ℎ20 (𝜃) = −𝑔20 𝑞 (𝜃) − 𝑔20 𝑞 (𝜃) , + 𝜏0 ( ).
(B.15) 𝛼𝛼 (𝑘1 + 𝑘2 (𝑒𝑖𝜔10 𝜏2 /𝜏10 + 𝑒−𝑖𝜔10 𝜏2 /𝜏10 ))
ℎ11 (𝜃) = −𝑔11 𝑞 (𝜃) − 𝑔11 𝑞 (𝜃) .
Substituting the above equalities into (B.7) and (B.8), respec-
tively, and with 𝐴 = 𝐴(0) being given by (62), we get that Substituting (B.12) and (B.19) into (B.18) and using the fact
that
𝑊̇ 20 (𝜃) = 2𝑖𝜔10 𝜏10 𝑊20 (𝜃) + 𝑔20 𝑞 (𝜃) + 𝑔20 𝑞 (𝜃) ,
(B.16)
𝑊̇ 11 (𝜃) = 𝑔11 𝑞 (𝜃) + 𝑔11 𝑞 (𝜃) . 0
(𝑖𝜔10 𝜏10 𝐼 − ∫ 𝑒𝑖𝜔10 𝜏10 𝜃 𝑑𝜂 (𝜃)) 𝑞 (0) = 0,
−1
Solving (B.16) leads to (B.12). To obtain the appropriate 𝐸1 (B.20)
and 𝐸2 , we proceed as follows. 0
−𝑖𝜔10 𝜏10 𝜃
From (B.7) and (B.8), it follows that (−𝑖𝜔10 𝜏10 𝐼 − ∫ 𝑒 𝑑𝜂 (𝜃)) 𝑞 (0) = 0,
−1

𝐴𝑊20 (0) = 2𝑖𝜔10 𝜏10 𝑊20 (0) − ℎ20 (0) ,

(B.17)
𝐴𝑊11 (0) = −ℎ11 (0) . we obtain
From the definition of 𝐴 in (62), we obtain
0
0
∫ 𝑑𝜂 (𝜃) 𝑊20 (𝜃) = 2𝑖𝜔10 𝜏10 𝑊20 (0) − ℎ20 (0) , (2𝑖𝜔10 𝜏10 𝐼 − ∫ 𝑒2𝑖𝜔10 𝜏10 𝜃 𝑑𝜂 (𝜃)) 𝐸2
−1
−1
(B.18) (B.21)
0 2𝑙1 + 2𝑙2 𝑒−𝑖𝜔10 𝜏10
∫ 𝑑𝜂 (𝜃) 𝑊11 (𝜃) = −ℎ11 (0) . = 𝜏0 ( 2 ),
−1 2𝛼 (𝑘1 + 𝑘2 𝑒−𝑖𝜔10 𝜏2 /𝜏10 )
14 Discrete Dynamics in Nature and Society

which leads to

2𝑖𝜔10 𝜏10 − 𝑎11 − 𝑏11 𝑒−2𝑖𝜔10 𝜏10 −𝑎12 2𝑙1 + 2𝑙2 𝑒−𝑖𝜔10 𝜏10
( ) 𝐸2 = ( ), (B.22)
−𝑎21 2𝑖𝜔10 𝜏10 − 𝑎22 − 𝑏22 𝑒−2𝑖𝜔10 𝜏2 /𝜏10 2𝛼2 (𝑘1 + 𝑘2 𝑒−𝑖𝜔10 𝜏2 /𝜏10 )

and so

−1
2𝑖𝜔10 𝜏10 − 𝑎11 − 𝑏11 𝑒−2𝑖𝜔10 𝜏10 −𝑎12 2𝑙1 + 2𝑙2 𝑒−𝑖𝜔10 𝜏10
𝐸2 = ( ) ( ). (B.23)
−𝑎21 2𝑖𝜔10 𝜏10 − 𝑎22 − 𝑏22 𝑒−2𝑖𝜔10 𝜏2 /𝜏10 2𝛼2 (𝑘1 + 𝑘2 𝑒−𝑖𝜔10 𝜏2 /𝜏10 )

Similarly, substituting (B.12) and (B.19) into (B.17), we
have that
−1
−𝑎11 − 𝑏11 −𝑎12
𝐸1 = ( ) [7] C. H. Hommes, “Financial markets as nonlinear adaptive
−𝑎21 −𝑎22 − 𝑏22
𝑙1 + 𝑙2 (𝑒𝑖𝜔10 𝜏10 + 𝑒−𝑖𝜔10 𝜏10 )
⋅( 𝑖𝜔10 𝜏2 /𝜏10 −𝑖𝜔10 𝜏2 /𝜏10
𝛼𝛼 (𝑘1 + 𝑘2 (𝑒 +𝑒
We can therefore derive 𝑊20 (𝜃) and 𝑊11 (𝜃), with 𝑔𝑖𝑗 in
(B.10) being determined by the parameters and the time
delays in system (2).
Conflict of Interests
The authors declare that there is no conflict of interests
regarding the publication of this paper.
Acknowledgment
The authors are especially grateful to D. Opris, the editor, for
helpful comments and suggestions.
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