Nonlinear time series analysis of the stock exchange: The case of an emerging market
UNSPECIFIED (1995) Nonlinear time series analysis of the stock exchange: The case of an emerging market. INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS, 5 (6). pp. 1557-1584. ISSN 0218-1274Full text not available from this repository.
The extent to which daily return data from the Athens' Stock Exchange Index exhibits nonlinear and chaotic characteristics is investigated by employing multiple tests from both the Economics' and the Natural Sciences' fields. The BDS test and Rescale Range (R/S) analysis provide evidence for non-linearity and fractality due to noisy chaos, respectively, while methods of chaotic dynamics, like correlation dimension and related tests, as well as, Lyapunov exponents, give consistent results, which do not rule out the possibility of deterministic chaos. The occurrence of a simple low-dimensional attractor, is not supported. However, noise filtered data by the use of SVD analysis and FIR filters, gives reliable evidence for the existence of an underlying dynamical system with a limited number of degrees-of-freedom.
|Item Type:||Journal Article|
|Subjects:||Q Science > QA Mathematics
|Journal or Publication Title:||INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS|
|Publisher:||WORLD SCIENTIFIC PUBL CO PTE LTD|
|Number of Pages:||28|
|Page Range:||pp. 1557-1584|
Actions (login required)