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Chaos in Economics and Finance

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Author Info
Dominique Guegan () (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I, 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/00/37/57/13/PDF/guegan_IFAC09.pdf
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Publisher Info
Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00375713_v1.

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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_v1

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

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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. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
  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. [Downloadable!] (restricted)
  4. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343_v1, HAL. [Downloadable!]
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This page was last updated on 2009-11-27.

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