Chaos, border collisions and stylized empirical facts in an asset pricing model with heterogeneous agents

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Chaos, border collisions and stylized empirical facts in an asset pricing model with heterogeneous agents

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Chaos, border collisions and stylized empirical facts in an asset pricing model with heterogeneous agents

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

<a href="/cs/project/GA20-16701S" target="_blank" >GA20-16701S: Hybridní evoluční hry a ekonomické aplikace</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Nonlinear Dynamics

ISSN

0924-090X

e-ISSN

—

Svazek periodika

102

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

24

Strana od-do

993-1017

Kód UT WoS článku

000534975300002

EID výsledku v databázi Scopus

2-s2.0-85085361473