IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v312y2002i3p539-564.html
   My bibliography  Save this article

Stock market dynamics

Author

Listed:
  • Baptista, M.S
  • Caldas, I.L

Abstract

We elucidate on several empirical statistical observations of stock market returns. Moreover, we find that these properties are recurrent and are also present in invariant measures of low-dimensional dynamical systems. Thus, we propose that the returns are modeled by the first Poincaré return time of a low-dimensional chaotic trajectory. This modeling, which captures the recurrent properties of the return fluctuations, is able to predict well the evolution of the observed statistical quantities. In addition, it explains the reason for which stocks present simultaneously dynamical properties and high uncertainties. In our analysis, we use data from the S&P 500 index and the Brazilian stock Telebrás.

Suggested Citation

  • Baptista, M.S & Caldas, I.L, 2002. "Stock market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(3), pages 539-564.
    • Handle: RePEc:eee:phsmap:v:312:y:2002:i:3:p:539-564
    DOI: 10.1016/S0378-4371(02)00847-6
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437102008476
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/S0378-4371(02)00847-6?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. F. Y. Ouyang & B. Zheng & X. F. Jiang, 2014. "Spatial and temporal structures of four financial markets in Greater China," Papers 1402.1046, arXiv.org.
    2. Olmedo,E. & Velasco, F. & Valderas, J.M., 2007. "Caracterización no lineal y predicción no paramétrica en el IBEX35/Nonlinear Characterization and Predictions of IBEX 35," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 25, pages 815-842, Diciembre.
    3. Ouyang, F.Y. & Zheng, B. & Jiang, X.F., 2014. "Spatial and temporal structures of four financial markets in Greater China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 236-244.
    4. Sen, Rituparna & Hsieh, Fushing, 2009. "A note on testing regime switching assumption based on recurrence times," Statistics & Probability Letters, Elsevier, vol. 79(24), pages 2443-2450, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:312:y:2002:i:3:p:539-564. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.