Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos
[Evidence Of Chaotic Behavior In American Stock Markets]
AbstractThis article validates the chaotic behavior in the Argentinean, Brazilian, Canadian, Chilean, American, Peruvian and Mexican Stock Markets using the MERVAL, BOVESPA, S&P TSX COMPOSITE, IPSA, IGPA, S&P 500, DOW JONES INDUSTRIALS, NASDAQ, IGBVL and IPC Stock Indexes respectively. The results of different techniques and methods like: Graphic Analysis, Recurrence Analysis, Temporal Space Entropy, Hurst Coefficient, Lyapunov Exponential and Correlation Dimension support the hypothesis that the stock markets behave in a chaotic way and rejected the hypothesis of randomness. Our conclusion validates the use of prediction techniques in those stock markets. It’s remarkable the result of the Hurst Coefficient Technique, that in average was of 0,75 for the indexes of this study which would justify the use of ARFIMA models among others for the prediction of such series.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 2794.
Date of creation: 20 Oct 2005
Date of revision: 30 Jun 2006
Chaos Theory; Recurrence Analysis; Temporal Space Entropy; Hurst Coefficient; Lyapunov Exponential; Correlation Dimension; BDS Test;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-21 (All new papers)
- NEP-ETS-2007-04-21 (Econometric Time Series)
- NEP-FMK-2007-04-21 (Financial Markets)
- NEP-RMG-2007-04-21 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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