Chaotic time series in financial processes consisting of savings with piecewise constant monthly contributions

arXiv2206.11933MaRDI QIDQ6403000FDOQ6403000

Publication date: 23 June 2022

Abstract: We investigate the time series generated by an elementary and deterministic financial process that consists in making monthly contributions to a savings account subjected to the devaluation by a monthly negative real interest rate. The monthly contribution is a piecewise constant function of the account balance. We show that a dichotomy holds for such a financial time series: either the financial time series are asymptotic to finitely many periodic sequences or the financial time series have an uncountable (Cantor) set of {omega}-limit points. We also provide explicit parameters for which the financial process is chaotic in the sense that the financial time series have sensitive dependence on initial conditions at points of a Cantor attractor.

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