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Visualization of Chaos for Finance Majors

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  • CORNELIS A. LOS

    (Kent State University)

Abstract

Efforts to simulate turbulence in the financial markets include experiments with the logistic equation: x(t)=kappa x(t-1)[1-x(t-1)], with 0

Suggested Citation

  • Cornelis A. Los, 2004. "Visualization of Chaos for Finance Majors," Finance 0409035, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0409035
    Note: Type of Document - pdf
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0409/0409035.pdf
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    References listed on IDEAS

    as
    1. Cornelis A. Los, 2000. "A Scientific Perspective," World Scientific Book Chapters, in: Computational Finance A Scientific Perspective, chapter 1, pages 19-33, World Scientific Publishing Co. Pte. Ltd..
    2. Cornelis A. Los, 1991. "A Scientific View of Economic Data Analysis: Reply," Eastern Economic Journal, Eastern Economic Association, vol. 17(4), pages 526-531, Oct-Dec.
    3. Karuppiah, Jeyanthi & Los, Cornelis A., 2005. "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
    4. Jeyanthi Karuppiah & Cornelis A. Los, 2000. "Wavelet Multiresolution Analysis of High-Frequency FX Rates, Summer 1997," School of Economics and Public Policy Working Papers 2000-06, University of Adelaide, School of Economics and Public Policy.
    5. Cornelis A. Los, 1991. "A Scientific View of Economic Data Analysis," Eastern Economic Journal, Eastern Economic Association, vol. 17(1), pages 61-71, Jan-Mar.
    6. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December.
    7. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Espinosa Méndez, Christian, 2005. "Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos [Evidence Of Chaotic Behavior In American Stock Markets]," MPRA Paper 2794, University Library of Munich, Germany, revised 30 Jun 2006.
    2. C-Rene DOMINIQUE, 2016. "Analyzing Market Economies from the Perspective of Information Production, Policy, and Self-organized Equilibrium," Expert Journal of Economics, Sprint Investify, vol. 4(1), pages 14-23.
    3. Dominique, C-Rene & Rivera-Solis, Luis Eduardo, 2012. "Short-term Dependence in Time Series as an Index of Complexity: Example from the S&P-500 Index," MPRA Paper 41408, University Library of Munich, Germany.
    4. Mynhardt, H. R. & Plastun, Alex & Makarenko, Inna, 2014. "Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009," MPRA Paper 58942, University Library of Munich, Germany.
    5. Espinosa Méndez, Christian, 2007. "Efecto Fin De Semana Y Fin De Mes En El Mercado Bursatil Chileno [Effect Weekend And Effect Month End In The Chilean Stock Market]," MPRA Paper 3252, University Library of Munich, Germany.
    6. Cornelis A. Los, 2004. "Measuring Financial Cash Flow and Term Structure Dynamics," Finance 0409046, University Library of Munich, Germany.

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    More about this item

    Keywords

    Logistic Equation; Visualization; Strange Attractor; Chaos; Hurst Exponent;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other

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