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Randomly modulated periodicity in the US stock market

Author

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  • Hinich, Melvin J.
  • Serletis, Apostolos

Abstract

This paper extends the work in Serletis and Shintani [Serletis A, Shintani M. No evidence of chaos but some evidence of dependence in the US stock market. Chaos, Solitons & Fractals 2003;17:449–454], Elder and Serletis [Elder J, Serletis A. On fractional integrating dynamics in the US stock market. Chaos, Solitons & Fractals [forthcoming, 2007]], and Koustas et al. [Koustas Z, Lamarche J-F, Serletis A. Threshold random walks in the US stock market. Chaos, Solitons & Fractals [forthcoming, 2007]] by examining the empirical evidence for random walk type behavior in the US stock market. In doing so, it uses the FORTRAN 95 program developed by Hinich [Hinich MJ. A statistical theory of signal coherence. IEEE J Oceanic Eng 2000;25:256–261] and detects a statistically significant randomly modulated periodic signal.

Suggested Citation

  • Hinich, Melvin J. & Serletis, Apostolos, 2008. "Randomly modulated periodicity in the US stock market," Chaos, Solitons & Fractals, Elsevier, vol. 36(3), pages 654-659.
    • Handle: RePEc:eee:chsofr:v:36:y:2008:i:3:p:654-659
    DOI: 10.1016/j.chaos.2006.06.098
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    References listed on IDEAS

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    1. Koustas, Zisimos & Lamarche, Jean-François & Serletis, Apostolos, 2008. "Threshold random walks in the US stock market," Chaos, Solitons & Fractals, Elsevier, vol. 37(1), pages 43-48.
    2. Elder, John & Serletis, Apostolos, 2007. "On fractional integrating dynamics in the US stock market," Chaos, Solitons & Fractals, Elsevier, vol. 34(3), pages 777-781.
    3. Hinich, Melvin A. & Wild, Phillip, 2001. "Testing Time-Series Stationarity Against An Alternative Whose Mean Is Periodic," Macroeconomic Dynamics, Cambridge University Press, vol. 5(3), pages 380-412, June.
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