Chaos and nonlinear forecastability in economics and finance

DOI10.1098/rsta.1994.0099zbMath0863.90032OpenAlexW2021895519MaRDI QIDQ5687578

Blake LeBaron

Publication date: 16 December 1996

Published in: Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rsta.1994.0099

zbMATH Keywords

nonlinear modellingchaos in financial markets

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic growth models (91B62)

Related Items (13)

Chaotic signals inside some tick-by-tick financial time series ⋮ Sustaining stable dynamics of a fractional-order chaotic financial system by parameter switching ⋮ Chaotic analysis of the foreign exchange rates ⋮ Estimating the largest Lyapunov exponent and noise level from chaotic time series ⋮ A positive Lyapunov exponent in Swedish exchange rates? ⋮ Necessity and chance: deterministic chaos in ecology and evolution ⋮ Expectational diversity in monetary economies ⋮ A characterization of Markov equilibrium in stochastic overlapping generations models ⋮ Does composite index of NYSE represents chaos in the long time scale? ⋮ The chaotic attractor analysis of DJIA based on manifold embedding and Laplacian eigenmaps ⋮ If Nonlinear Models Cannot Forecast, What Use Are They? ⋮ Determinism in Financial Time Series ⋮ Self-criticality and stochastic of an S{\&}P 500 index time series

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