This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Chaos and Nonlinear Forecastability in Economics and Finance

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Blake LeBaron (University of Wisconsin)

Additional information is available for the following registered author(s):

Abstract

Both academic and applied researchers studying financial markets and other economic series have become interested in the topic of chaotic dynamics. The possibility of chaos in financial markets opens important questions for both economic theorists as well as financial market participants. This paper will clarify the empirical evidence for chaos in financial markets and macroeconomic series. It will also compare these two concepts from a financial market perspective contrasting the objectives of the practitioner with those of economic researchers. Finally, the paper will speculate on the impact of chaos and nonlinear modeling on future economic research.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://129.3.20.41/eps/fin/papers/9411/9411001.pdf
File Format: application/pdf
File Function:
Download Restriction: no
File URL: http://129.3.20.41/eps/fin/papers/9411/9411001.ps.gz
File Format: application/postscript
File Function:
Download Restriction: no

Publisher Info
Paper provided by EconWPA in its series Finance with number 9411001.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: 14 Nov 1994
Date of revision:
Handle: RePEc:wpa:wuwpfi:9411001

Contact details of provider:
Web page: http://129.3.20.41

For technical questions regarding this item, or to correct its listing, contact: (EconWPA).

Related research
Keywords:

Other versions of this item:

Find related papers by JEL classification:
G - Financial Economics

References listed on IDEAS
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.:

  1. Blake LeBaron, . "The Joint Dynamics and Stability of Stock Prices and Volume," Working papers _004, University of Wisconsin - Madison. [Downloadable!]
  2. Ramsey, J.B. & Sayers, C.L. & Rothman, P., 1988. "The Statistical Properties Of Dimension Calculations Using Small Data Sets: Some Economic Applications," Papers 15, Houston - Department of Economics.
    Other versions:
  3. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April. [Downloadable!] (restricted)
  4. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59. [Downloadable!] (restricted)
  5. Blake LeBaron, . "Technical Trading Rules and Regime Shifts in Foreign Exchange," Working papers _007, University of Wisconsin - Madison. [Downloadable!]
  6. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
    Other versions:
  7. Frank, Murray & Gencay, Ramazan & Stengos, Thanasis, 1988. "International chaos?," European Economic Review, Elsevier, vol. 32(8), pages 1569-1584, October. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, 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.)

  1. Michael Small & Chi Tse, 2003. "Determinism in Financial Time Series," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 7(3), pages 1134-1134. [Downloadable!] (restricted)
  2. Sergio Da Silva, 2004. "The Dornbusch Model with Chaos and Foreign Exchange Intervention," International Finance 0405017, EconWPA. [Downloadable!]
  3. Vitaliy Vandrovych, 2005. "Study of Nonlinearities in the Dynamics of Exchange Rates: Is There Any Evidence of Chaos?," Computing in Economics and Finance 2005 234, Society for Computational Economics. [Downloadable!]
Statistics
Access and download statistics

Did you know? You can use convenient plug-ins to search directly IDEAS from your browser.

This page was last updated on 2008-8-8.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.