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A financial market model with two discontinuities: Bifurcation structures in the chaotic domain.

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We continue the investigation of a one-dimensional piecewise linear map with two discontinuity points. Such a map may arise from a simple asset-pricing model with heterogeneous speculators, which can help… Click to show full abstract

We continue the investigation of a one-dimensional piecewise linear map with two discontinuity points. Such a map may arise from a simple asset-pricing model with heterogeneous speculators, which can help us to explain the intricate bull and bear behavior of financial markets. Our focus is on bifurcation structures observed in the chaotic domain of the map's parameter space, which is associated with robust multiband chaotic attractors. Such structures, related to the map with two discontinuities, have been not studied before. We show that besides the standard bandcount adding and bandcount incrementing bifurcation structures, associated with two partitions, there exist peculiar bandcount adding and bandcount incrementing structures involving all three partitions. Moreover, the map's three partitions may generate intriguing bistability phenomena.

Keywords: chaotic domain; bandcount; bifurcation structures; financial market; model; two discontinuities

Journal Title: Chaos
Year Published: 2018

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