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Analisis de Series Bursatiles a partir de la Teoria del Caos

  • Matilla, Mariano

A lo largo de este manuscrito se pretende fundamentalmente responder a una serie de preguntas que relacionan las series historicas de los mercados de valores y el analisis de las mismas desde la teoria del caos: (i)¿por que es posible analizar estas series con tecnicas propias de la teoria del caos?, (ii) ¿es la aproximacion caotica similar a la estocastica dominante en la actualidad?, y (iii) ¿podria existir caos dentro de las series financieras? Como expondre mas adelante, esta aproximacion no pretende suplantar ninguna de las existentes, sino mas bien abrir el campo de investigacion, respecto del estandar, en lo que a este tipo de series se refiere. Esto posibilita la elevacion de nuevas preguntas fundamentales para el desarrollo de la teoria economica y la evaluacion econometrica. La exposicion se articula del siguiente modo: En el primer apartado se ofrece un intuitivo bosquejo de las implicaciones practicas de la teoria del caos. El segundo apartado pretende revisar los fundamentos de la aproximacion estocastica, y paralelamente someterlos al juicio de la evidencia empirica. El apartado tercero se dedica a exponer los fundamentos, a un nivel basico, matematicos que posibilitan el uso de ciertas herramientas para el analisis de series temporales. Adicionalmente algunas de estas tecnicas se aplican al analisis de series como el IBEX35

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File URL: http://www.usc.es/economet/cycles/cycles63.pdf
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Article provided by International Association of Economic Cycles in its journal Review on Economic Cycles.

Volume (Year): 6 (2003)
Issue (Month): 1 (July)
Pages:

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Handle: RePEc:rec:cycles:v:6:y:2003:i:1_7
Contact details of provider: Web page: http://www.usc.es/economet/cycles.htm

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