A Homoclinic Route to Volatility: Dynamics of Asset Prices Under Autoregressive Forecasting

Böhm V, Chiarella C, He X-Z, Hüls T (2013)
In: Global Analysis of Dynamic Models in Economics and Finance. Bischi GI, Chiarella C, Sushko I (Eds); Berlin, Heidelberg: Springer Berlin Heidelberg: 289-316.

Sammelwerksbeitrag | Veröffentlicht | Englisch
 
Download
Es wurden keine Dateien hochgeladen. Nur Publikationsnachweis!
Autor*in
Böhm, VolkerUniBi; Chiarella, Carl; He, Xue-Zhong; Hüls, ThorstenUniBi
Herausgeber*in
Bischi, Gian Italo; Chiarella, Carl; Sushko, Iryna
Abstract / Bemerkung
The article investigates the impact of mean-reverting forecasts in a model of asset pricing with two groups of investors undermarket clearing. Fundamentalists believe that asset prices follow an exogenous stochastic process, while chartists assume that asset prices follow a stochastic geometric decay process. For high values of mean reversion a period-doubling bifurcation occurs followed by a Neimark-Sacker bifurcation, after which homoclinic points exist inducing chaotic dynamics. Before the occurrence of homoclinic points, all orbits induce significant fluctuations with recurring symmetries and nonvanishing autocorrelations in all time series of prices and returns. After the homoclinic bifurcation, prices and returns follow alternating phases with low fluctuations near the steady state followed by phases with large excursions from the steady state. This shows that nonlinearities of the deterministic model rather than random perturbations are the causes of volatility clustering and of the generation of fat tails. Autocorrelations of prices and returns vanish while those of absolute returns and squared returns persist for high-order lags. Thus, the model is able to reproduce some important empirical market features. Keywords Asset pricing • Autoregressive forecasting • Mean reversion • Boundedly rational heterogeneous agents • Bifurcations
Erscheinungsjahr
2013
Buchtitel
Global Analysis of Dynamic Models in Economics and Finance
Seite(n)
289-316
ISBN
978-3-642-29502-7
Page URI
https://pub.uni-bielefeld.de/record/2699174

Zitieren

Böhm V, Chiarella C, He X-Z, Hüls T. A Homoclinic Route to Volatility: Dynamics of Asset Prices Under Autoregressive Forecasting. In: Bischi GI, Chiarella C, Sushko I, eds. Global Analysis of Dynamic Models in Economics and Finance. Berlin, Heidelberg: Springer Berlin Heidelberg; 2013: 289-316.
Böhm, V., Chiarella, C., He, X. - Z., & Hüls, T. (2013). A Homoclinic Route to Volatility: Dynamics of Asset Prices Under Autoregressive Forecasting. In G. I. Bischi, C. Chiarella, & I. Sushko (Eds.), Global Analysis of Dynamic Models in Economics and Finance (pp. 289-316). Berlin, Heidelberg: Springer Berlin Heidelberg. doi:10.1007/978-3-642-29503-4_11
Böhm, V., Chiarella, C., He, X. - Z., and Hüls, T. (2013). “A Homoclinic Route to Volatility: Dynamics of Asset Prices Under Autoregressive Forecasting” in Global Analysis of Dynamic Models in Economics and Finance, Bischi, G. I., Chiarella, C., and Sushko, I. eds. (Berlin, Heidelberg: Springer Berlin Heidelberg), 289-316.
Böhm, V., et al., 2013. A Homoclinic Route to Volatility: Dynamics of Asset Prices Under Autoregressive Forecasting. In G. I. Bischi, C. Chiarella, & I. Sushko, eds. Global Analysis of Dynamic Models in Economics and Finance. Berlin, Heidelberg: Springer Berlin Heidelberg, pp. 289-316.
V. Böhm, et al., “A Homoclinic Route to Volatility: Dynamics of Asset Prices Under Autoregressive Forecasting”, Global Analysis of Dynamic Models in Economics and Finance, G.I. Bischi, C. Chiarella, and I. Sushko, eds., Berlin, Heidelberg: Springer Berlin Heidelberg, 2013, pp.289-316.
Böhm, V., Chiarella, C., He, X.-Z., Hüls, T.: A Homoclinic Route to Volatility: Dynamics of Asset Prices Under Autoregressive Forecasting. In: Bischi, G.I., Chiarella, C., and Sushko, I. (eds.) Global Analysis of Dynamic Models in Economics and Finance. p. 289-316. Springer Berlin Heidelberg, Berlin, Heidelberg (2013).
Böhm, Volker, Chiarella, Carl, He, Xue-Zhong, and Hüls, Thorsten. “A Homoclinic Route to Volatility: Dynamics of Asset Prices Under Autoregressive Forecasting”. Global Analysis of Dynamic Models in Economics and Finance. Ed. Gian Italo Bischi, Carl Chiarella, and Iryna Sushko. Berlin, Heidelberg: Springer Berlin Heidelberg, 2013. 289-316.

Export

Markieren/ Markierung löschen
Markierte Publikationen

Open Data PUB

Suchen in

Google Scholar
ISBN Suche