Chaoticity versus stochasticity in financial markets: are daily S\&P 500 return dynamics chaotic?

DOI10.1016/j.cnsns.2021.106218OpenAlexW4226424557MaRDI QIDQ2076249

Peter Gordon Rötzel, Markus Vogl

Publication date: 16 February 2022

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2021.106218

zbMATH Keywords

chaosnonlinear dynamicsfinancial marketsrecurrence analysisfinancial chaosfinancial predictions

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Inference from stochastic processes (62Mxx) Dynamical systems with hyperbolic behavior (37Dxx)

Related Items (2)

Chaos measure dynamics in a multifactor model for financial market predictions ⋮ Recurrence-based reconstruction of dynamic pricing attractors

Uses Software

• K2

Cites Work

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