Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos [Evidence Of Chaotic Behavior In American Stock Markets]
Why is this work in the frame?
A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.
No Canadian affiliation. An affiliation-only frame — the usual design — would never have seen this work. It is one of the works that make the case for inverting the frame.
The three-model screen
all 1,000 screened works →All three models called this out of scope.
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.
Abstract
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.
Stored with the screening record, where it is evidence for the labels above.
The record
- Venue
- MPRA Paper
- Topic
- Complex Systems and Time Series Analysis
- Field
- Economics, Econometrics and Finance
- Canadian institutions
- —
- Funders
- —
- Keywords
- Autoregressive fractionally integrated moving averageStock (firearms)EconometricsHurst exponentChaoticRandomnessEconomicsExponential functionMathematicsStatisticsFinancial economicsLong memoryGeographyMathematical analysisManagement
- Has abstract in OpenAlex
- yes