On the bimodality of the distribution of the S\&P 500's distortion: empirical evidence and theoretical explanations

DOI10.1016/j.jedc.2017.05.002zbMath1401.91565OpenAlexW2613936146MaRDI QIDQ1655508

Noemi Schmitt, Frank H. Westerhoff

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/152260

zbMATH Keywords

nonlinear dynamicstime series analysisbimodality testsbubbles and crasheschartists and fundamentalistsstock market dynamics

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Stochastic models in economics (91B70)

Related Items (4)

A financial market model with two discontinuities: Bifurcation structures in the chaotic domain ⋮ Co-existence of trend and value in financial markets: estimating an extended Chiarella model ⋮ Bandwidth selection for kernel density estimation of fat-tailed and skewed distributions ⋮ Speculative behavior and chaotic asset price dynamics: on the emergence of a bandcount accretion bifurcation structure

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Structural stochastic volatility in asset pricing dynamics: estimation and model contest
• The heterogeneous expectations hypothesis: Some evidence from the lab
• An analysis of the effect of noise in a heterogeneous agent financial market model
• Phenomenological and ratio bifurcations of a class of discrete time stochastic processes
• The dynamics of speculative behaviour
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• The impact of short-selling constraints on financial market stability in a heterogeneous agents model
• Financial crises and interacting heterogeneous agents
• On the specification of noise in two agent-based asset pricing models
• A bifurcation theory for a class of discrete time Markovian stochastic systems
• Behavioral heterogeneity in stock prices
• The rise and fall of catastrophe theory applications in economics: was the baby thrown out with the bathwater?
• Can a stochastic cusp catastrophe model explain stock market crashes?
• On the unstable behaviour of stock exchanges
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Booms, busts and behavioural heterogeneity in stock prices
• Time series properties of an artificial stock market
• Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
• The bull and bear market model of Huang and Day: some extensions and new results
• Speculative behavior and the dynamics of interacting stock markets
• Empirical properties of asset returns: stylized facts and statistical issues
• Introduction to Econophysics

This page was built for publication: On the bimodality of the distribution of the S\&P 500's distortion: empirical evidence and theoretical explanations