Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos [Evidence Of Chaotic Behavior In American Stock Markets]
Pourquoi ce travail est-il dans la base ?
Une base qui oublie comment elle a trouvé un travail ne peut pas être vérifiée. Voici les voies qui ont admis celui-ci.
Aucune affiliation canadienne. Une base fondée sur la seule affiliation (le devis habituel) n'aurait jamais vu ce travail. C'est l'un des travaux qui justifient l'inversion de la base.
Le tri à trois modèles
les 1 000 travaux triés →Les trois modèles l'ont jugé hors champ.
Tests for chaotic dynamics in stock market indices; the 'validation' is of a market hypothesis, not of research methods.
This analyzes chaotic behavior in stock markets rather than the research system.
Econometric chaos analysis of stock indexes including Canada among many; finance, not research system.
Résumé
This article validates the chaotic behavior in the Argentinean, Brazilian, Canadian, Chilean, American, Peruvian and Mexican Stock Markets using the MERVAL, BOVESPA, S&P TSX COMPOSITE, IPSA, IGPA, S&P 500, DOW JONES INDUSTRIALS, NASDAQ, IGBVL and IPC Stock Indexes respectively. The results of different techniques and methods like: Graphic Analysis, Recurrence Analysis, Temporal Space Entropy, Hurst Coefficient, Lyapunov Exponential and Correlation Dimension support the hypothesis that the stock markets behave in a chaotic way and rejected the hypothesis of randomness. Our conclusion validates the use of prediction techniques in those stock markets. It’s remarkable the result of the Hurst Coefficient Technique, that in average was of 0,75 for the indexes of this study which would justify the use of ARFIMA models among others for the prediction of such series.
Conservé avec la notice de tri, où il sert de preuve aux étiquettes ci-dessus.
La notice
- Revue
- MPRA Paper
- Thématique
- Complex Systems and Time Series Analysis
- Domaine
- Economics, Econometrics and Finance
- Établissements canadiens
- —
- Organismes subventionnaires
- —
- Mots-clés
- Autoregressive fractionally integrated moving averageStock (firearms)EconometricsHurst exponentChaoticRandomnessEconomicsExponential functionMathematicsStatisticsFinancial economicsLong memoryGeographyMathematical analysisManagement
- Résumé présent dans OpenAlex
- oui