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Financial Markets: Chaotic System Or Random?

Author

Listed:
  • Emílio Flávio Guerra Gomes

    (Petrobras)

  • Karlo Marques Junior

    (Faculdade de Educação Santa Terezinha (Fest))

Abstract

This article investigates two opposite views about behavior of asset prices in financial markets. On one hand we have the efficient market hypothesis, illustrated by the CAPM model and the Garch model. On the other hand, will be exposed to the hypothesis of deterministic chaos in the behavior of asset prices in financial markets. For this, we use the Day and Huang model (1990).

Suggested Citation

  • Emílio Flávio Guerra Gomes & Karlo Marques Junior, 2010. "Financial Markets: Chaotic System Or Random?," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 8(1), pages 102-123, january-a.
    • Handle: RePEc:aft:journl:v:8:1:2010:jan:apr:p:102-123
    DOI: -
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