Chaos, border collisions and stylized empirical facts in an asset pricing model with heterogeneous agents
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F20%3A10245358" target="_blank" >RIV/61989100:27510/20:10245358 - isvavai.cz</a>
Result on the web
<a href="https://www.scopus.com/record/display.uri?eid=2-s2.0-85085361473&origin=resultslist&sort=plf-f&src=s&st1=radi%2c+d&st2=&sid=b5e7922457e298202b1fb3eaf34f31d6&sot=b&sdt=b&sl=20&s=AUTHOR-NAME%28radi%2c+d%29&relpos=1&citeCnt=0&searchTerm=" target="_blank" >https://www.scopus.com/record/display.uri?eid=2-s2.0-85085361473&origin=resultslist&sort=plf-f&src=s&st1=radi%2c+d&st2=&sid=b5e7922457e298202b1fb3eaf34f31d6&sot=b&sdt=b&sl=20&s=AUTHOR-NAME%28radi%2c+d%29&relpos=1&citeCnt=0&searchTerm=</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11071-020-05689-1" target="_blank" >10.1007/s11071-020-05689-1</a>
Alternative languages
Result language
angličtina
Original language name
Chaos, border collisions and stylized empirical facts in an asset pricing model with heterogeneous agents
Original language description
An asset pricing model with chartists, fundamentalists and trend followers is considered. A market maker adjusts the asset price in the direction of the excess demand at the end of each trading session. An exogenously given fundamental price discriminates between a bull market and a bear market. The buying and selling orders of traders change moving from a bull market to a bear market. Their asymmetric propensity to trade leads to a discontinuity in the model, with its deterministic skeleton given by a two-dimensional piecewise linear dynamical system in discrete time. Multiple attractors, such as a stable fixed point and one or more attracting cycles or cycles and chaotic attractors, appear through border collision bifurcations. The multi-stability regions are underlined by means of two-dimensional bifurcation diagrams, where the border collision bifurcation curves are detected in analytic form at least for basic cycles with symbolic sequences LR n and RL n. A statistical analysis of the simulated time series of the asset returns, generated by perturbing the deterministic dynamics with a random walk process, indicates that this is one of the simplest asset pricing models which are able to replicate stylized empirical facts, such as excess volatility, fat tails and volatility clustering. (C) 2020, Springer Nature B.V.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
<a href="/en/project/GA20-16701S" target="_blank" >GA20-16701S: Hybrid Evolutionary Games and Economic Applications</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Nonlinear Dynamics
ISSN
0924-090X
e-ISSN
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Volume of the periodical
102
Issue of the periodical within the volume
2
Country of publishing house
US - UNITED STATES
Number of pages
24
Pages from-to
993-1017
UT code for WoS article
000534975300002
EID of the result in the Scopus database
2-s2.0-85085361473