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Pré-Publication, Document De Travail (Preprint/Prepublication) Année : 2023

Unimodal maps perturbed by heteroscedastic noise : an application to a financial systems

Résumé

We investigate and prove the mathematical properties of a general class of onedimensional unimodal smooth maps perturbed with a heteroscedastic noise. Specifically, we investigate the stability of the associated Markov chain, show the weak convergence of the unique stationary measure to the invariant measure of the map, and show that the average Lyapunov exponent depends continuously on the Markov chain parameters. Representing the Markov chain in terms of random transformation enables us to state and prove the Central Limit Theorem, the large deviation principle, and the Berry-Esséen inequality. We perform a multifractal analysis for the invariant and the stationary measures, and we prove Gumbel's law for the Markov chain with an extreme index equal to 1. In addition, we present an example linked to the financial concept of systemic risk and leverage cycle, and we use the model to investigate the finite sample properties of our asymptotic results
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Dates et versions

hal-04101556 , version 1 (20-05-2023)

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Paternité

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  • HAL Id : hal-04101556 , version 1

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Fabrizio Lillo, Giulia Livieri, Stefano Marmi, Anton Solomko, Sandro Vaienti. Unimodal maps perturbed by heteroscedastic noise : an application to a financial systems. 2023. ⟨hal-04101556⟩
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