| Contents |
| We introduce a canonical form
for a standard model of asset pricing.
The resulting (non-invertible) two-dimensional dynamical system
depends on two parameters only, a rate of geometric decay and a mean
reversion parameter.
We detect parameter regimes for which homoclinic and heteroclinic
orbits exist and illustrate corresponding intersections of stable and
unstable sets. Finally, autocorrelations of prices and
returns before and after these global bifurcations are discussed. |
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