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Chaos in Economics and Finance

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  • Dominique Guegan

    () (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)

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    Abstract

    This paper focuses on the use of dynamical chaotic systems in Economics and Finance. In these fields, researchers employ different methods from those taken by mathematicians and physicists. We discuss this point. Then, we present statistical tools and problems which are innovative and can be useful in practice to detect the existence of chaotic behavior inside real data sets.

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    File URL: http://halshs.archives-ouvertes.fr/docs/00/43/60/81/PDF/guegan_WPB07054.pdf
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    Bibliographic Info

    Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00375713.

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    Date of creation: Apr 2009
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    Publication status: Published, Annual Reviews in Control, 2009, 33, 1, 89-93
    Handle: RePEc:hal:cesptp:halshs-00375713

    Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00375713
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    Web page: http://hal.archives-ouvertes.fr/

    Related research

    Keywords: Chaos ; Deterministic dynamical system ; Economics ; Estimation theory ; Finance ; Forecasting;

    This paper has been announced in the following NEP Reports:

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    1. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    2. Oliver Linton & Mototsugu Shintani, 2002. "Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series /2002/434, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. Benhabib, Jess & Nishimura, Kazuo, 1979. "The hopf bifurcation and the existence and stability of closed orbits in multisector models of optimal economic growth," Journal of Economic Theory, Elsevier, vol. 21(3), pages 421-444, December.
    4. Barnett,William A. & Kirman,Alan P. & Salmon,Mark, 1997. "Nonlinear Dynamics and Economics," Cambridge Books, Cambridge University Press, number 9780521471411.
    5. Dominique Guegan & Justin Leroux, 2008. "Forecasting chaotic systems : the role of local Lyapunov exponents," Documents de travail du Centre d'Economie de la Sorbonne b08014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2008.
    6. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343, HAL.
    7. Day, R H, 1992. "Complex Economic Dynamics: Obvious in History, Generic in Theory, Elusive in Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S9-23, Suppl. De.
    8. Dominique Guegan & Justin Leroux, 2009. "Local Lyapunov Exponents: A new way to predict chaotic systems," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00511996, HAL.
    9. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor and Francis Journals, vol. 24(2), pages 113-149.
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