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The search for evidence of chaos in FTSE‐100 daily returns

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  • Paula L. Varson
  • Paul Doran

Abstract

This study provides an elementary discussion of deterministic chaos as it applies to security returns. the study demonstrates a simple technique, well known in the physical sciences, for discriminating between random and chaotic time‐series. Applying the technique to a time‐series of daily returns on the FTSE‐100, an index comprised of the stocks of the 100 largest British firms, results in evidence that the time‐series is random, not chaotic.

Suggested Citation

  • Paula L. Varson & Paul Doran, 1995. "The search for evidence of chaos in FTSE‐100 daily returns," European Financial Management, European Financial Management Association, vol. 1(2), pages 201-210, July.
    • Handle: RePEc:bla:eufman:v:1:y:1995:i:2:p:201-210
    DOI: 10.1111/j.1468-036X.1995.tb00015.x
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    References listed on IDEAS

    as
    1. Robert Savit, 1989. "Nonlinearities and chaotic effects in options prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(6), pages 507-518, December.
    2. Savit, R., 1989. "Nonlinearities And Chaotic Effects In Options Prices," Papers 184, Columbia - Center for Futures Markets.
    3. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, University of Chicago Press, vol. 62(3), pages 311-337, July.
    4. Hsieh, David A, 1991. "Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-1877, December.
    5. Robert Savit, 1988. "When random is not random: An introduction to chaos in market prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 8(3), pages 271-290, June.
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    Cited by:

    1. Marisa Faggini & Bruna Bruno & Anna Parziale, 2019. "Does Chaos Matter in Financial Time Series Analysis?," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 18-24.
    2. Amilon, Henrik & Byström, Hans, 1998. "The Search for Chaos and Nonlinearities in Swedish Stock Index Returns," Working Papers 1998:6, Lund University, Department of Economics.

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