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Chaos and Nonlinear Dynamics in the Financial Markets

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Chaos & Nonlinear Dynamics in the Financial Markets explores both theory and empirical results related to nonlinear determinism in the dynamics of asset prices. It includes a wealth of material on the properties of chaotic processes relevant to markets, along with statistical and other tests which have been developed specifically to detect the presence of chaotic behavior. This authoritative guide covers a comprehensive range of issues associated with chaos theory. It includes sections on theoretical ...
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Overview

Chaos & Nonlinear Dynamics in the Financial Markets explores both theory and empirical results related to nonlinear determinism in the dynamics of asset prices. It includes a wealth of material on the properties of chaotic processes relevant to markets, along with statistical and other tests which have been developed specifically to detect the presence of chaotic behavior. This authoritative guide covers a comprehensive range of issues associated with chaos theory. It includes sections on theoretical foundations; evidence of chaos in the stock market, commodities markets, and money markets; and a section on advanced methodological issues. You'll also find included Chaos Explorer, a complimentary software package that graphically illustrates the chaotic processes that are referenced throughout the book.
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Product Details

  • ISBN-13: 9781557388575
  • Publisher: McGraw-Hill Companies, The
  • Publication date: 8/28/1995
  • Edition description: BK&DISK
  • Pages: 300
  • Product dimensions: 6.39 (w) x 9.33 (h) x 1.47 (d)

Table of Contents

List of Figures
List of Tables
Preface
Sources and Acknowledgments
Contributors
1 Nonlinear and Chaotic Dynamics: An Economist's Guide 3
2 When Random Is Not Random: An Introduction to Chaos in Market Prices 39
3 Adaptive Learning and Roads to Chaos: The Case of the Cobweb 63
4 Chaos Models and Their Implications for Forecasting 71
5 Structural Shifts and the Volatility of Chaotic Markets 87
6 Testing for Nonlinear Dependence in Daily Stock Indices 105
7 A Chaotic Attractor for the S&P 500 121
8 Evidence of Chaos in the S&P 500 Cash Index 137
9 Investor Preferences and the Correlation Dimension 153
10 Modeling Structured Nonlinear Knowledge to Predict Stock Market Returns 163
11 Evidence of Chaos in Commodity Futures Prices 179
12 "Chaos" in Futures Markets? A Nonlinear Dynamical Analysis 199
13 Nonlinear Dynamics of Daily Futures Prices: Conditional Heteroskedasticity or Chaos? 225
14 Measuring the Strangeness of Gold and Silver Rates of Return 245
15 A Low-Dimensional Fractal Attractor in the Foreign-Exchange Markets? 269
16 Implications of Nonlinear Dynamics for Financial Risk Management 295
17 Chaotic Behavior in Exchange-Rate Series: First Results for the Peseta-U.S. Dollar Case 327
18 Nonlinearity in the Interest Rate Risk Premium 335
19 Using the Correlation Exponent to Decide Whether an Economic Series Is Chaotic 361
20 A New Test for Chaos 383
21 Measuring Complexity of Nonlinearity by a Relative Index with Application to Financial Time Series 417
22 Nonlinearities and Chaotic Effects in Options Prices 439
23 Chaos, Taxes, Stabilization, and Turnover 457
24 Neural Learning of Chaotic Time Series Invariants 467
Name Index 489
Subject Index 497
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