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Does Chaos Matter in Financial Time Series Analysis?

Author

Listed:
  • Marisa Faggini

    (Department of Economics and Statistics - DISES, University of Salerno, Italy,)

  • Bruna Bruno

    (Department of Economics and Statistics - DISES, University of Salerno, Italy,)

  • Anna Parziale

    (Department of Law Sciences University of Salerno, Italy)

Abstract

The apparent randomness of financial market led some economists to approach chaos theory as a theoretical framework able to explain those fluctuations. This interest is because some nonlinear deterministic systems with few degrees of freedom create signals that mimic stochastic signals from the point of view of traditional time series analysis but with a deepener analysis performed by adequate tools could be chaotic. The aim of this paper is explorative in its nature, pointing to investigate chaos literature in order to grasp the difficulties typical of these applied researches and to see if something new is happening.

Suggested Citation

  • Marisa Faggini & Bruna Bruno & Anna Parziale, 2019. "Does Chaos Matter in Financial Time Series Analysis?," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 18-24.
    • Handle: RePEc:eco:journ1:2019-04-3
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    Cited by:

    1. Andrés Fernández-Díaz, 2023. "Overview and Perspectives of Chaos Theory and Its Applications in Economics," Mathematics, MDPI, vol. 12(1), pages 1-20, December.

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    More about this item

    Keywords

    Chaos theory; time series; financial markets;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • G1 - Financial Economics - - General Financial Markets
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance

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