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Les rentabilités à la bourse de Paris sont-elles chaotiques ?

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Listed:
  • Isabelle Girerd-Potin
  • Ollivier Taramasco

Abstract

[fre] Les rentabilités à la bourse de Paris sont-elles chaotiques ?. . Parmi les processus déterministes, les processus chaotiques ont des trajectoires qui ressemblent à celles d'un processus stochastique. Cette étude essaie de déterminer si le processus qui génère les rentabilités de l'indice SBF est déterministe. Après un rappel des propriétés de la dynamique chaotique, les outils standards de détection du chaos sont utilisés sur les rentabilités boursières. Certaines mesures peuvent inciter à conclure à l'existence d'une dynamique chaotique générant les rentabilités de l'indice SBF, mais une analyse plus fine et l'échec des méthodes de prévision à court terme invitent à préférer une modélisation stochastique du processus des rentabilités. [eng] Are french stock market returns chaotic ?. . Among deterministic processes, chaotic processes have trajectories that seem to be stochastic. This article tries to answer to the question : are the returns of the French SBF index deterministic ? After explaining the properties of the chaotic dynamics, the usual tools to detect chaos are used on the stock market returns. Some results are in favour of a chaotic process for the SBF index, but a closer look and the unsuccessfulness of forecasting methods lead to prefer a stochastic model for the return process.

Suggested Citation

  • Isabelle Girerd-Potin & Ollivier Taramasco, 1994. "Les rentabilités à la bourse de Paris sont-elles chaotiques ?," Revue Économique, Programme National Persée, vol. 45(2), pages 215-238.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1994_num_45_2_409520
    DOI: 10.3406/reco.1994.409520
    Note: DOI:10.3406/reco.1994.409520
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    References listed on IDEAS

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    Cited by:

    1. Monia Antar Limam, 2017. "Autosimilarty, Long Memory and Chaos: Evidence from the Tunisian Market," Business and Management Studies, Redfame publishing, vol. 3(2), pages 61-77, June.
    2. RIANE, Nizare, 2014. "Etude de la dynamique non-linéaire des rentabilités de la bourse de Casablanca [Study of the returns nonlinear dynamics of the Casablanca stock exchange]," MPRA Paper 61957, University Library of Munich, Germany, revised 06 Feb 2015.

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