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Chaos and Fractal Impact on Economics
[El impacto en la ciencia económica de la teoría del caos y de los fractales: Teoría y aplicaciones]

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Abstract

Complexity is one of the most important characteristic properties of the economic behaviour. The new field of knowledge called Chaotic Dynamic Economics born precisely with the objective of understanding, structuring and explaining in an endogenous way such complexity. In this paper, and after scanning the principal concepts and techniques about the mathematics of chaos and the fractal geometry, we analyze the possibilities of application of these valuable tools to the different areas of Economics. After a set of general considerations, within a wide landscape, we tackle the study of two main economic areas: the existence of chaos in time series, and the eventual chaotic behaviour in the Capital Markets during the recent period of crisis, considering the IBEX 35 daily data in the years 2006-2013, obtaining very interesting results.

Suggested Citation

  • Andrés Fernández Díaz, 2015. "Chaos and Fractal Impact on Economics [El impacto en la ciencia económica de la teoría del caos y de los fractales: Teoría y aplicaciones]," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 15-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
    • Handle: RePEc:ucm:doctra:15-02
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    File URL: https://eprints.ucm.es/id/eprint/28417/1/1502-chaos.pdf
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    More about this item

    Keywords

    Complexity; Chaos; Fractal; Non-linearity; Correlation dimension; Fractal dimension; Lyapunov exponents; Time series; Capital markets; Predictions.;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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