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Chaotic Dynamics of Asset Prices

Author

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  • Lee, Woongki

    (Yonsei University)

Abstract

This study offers a new perspective on asset price dynamics by showing that seemingly irregular price movements are governed by a common structure. It separates the forces underlying these movements and develops three equivalent representations that make this structure more transparent. A central construct in the study is a time-varying parameter that classifies price dynamics into interpretable regimes. In the empirical analysis of aggregate stock prices, periods of higher parameter values, indicating more turbulent regimes, align closely with major economic downturns. This evidence supports the parameter’s use as a diagnostic tool for detecting regime shifts and periods of macro-financial turbulence.

Suggested Citation

  • Lee, Woongki, 2026. "Chaotic Dynamics of Asset Prices," SocArXiv 5x7b2_v1, Center for Open Science.
    • Handle: RePEc:osf:socarx:5x7b2_v1
    DOI: 10.31235/osf.io/5x7b2_v1
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    References listed on IDEAS

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