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Beauty of financial time series

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  • Makowiec, Danuta
  • Posiewnik, Andrzej

Abstract

AIP qualitative method of discrimination of a dynamical system among stochastic noise, deterministic noise or deterministic function is applied to three stock market indices to identify similarities and discrepancies between developed and emergent markets when some expectations for extraordinary profits are present.

Suggested Citation

  • Makowiec, Danuta & Posiewnik, Andrzej, 2001. "Beauty of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 301(1), pages 429-440.
    • Handle: RePEc:eee:phsmap:v:301:y:2001:i:1:p:429-440
    DOI: 10.1016/S0378-4371(01)00402-2
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    References listed on IDEAS

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    1. Anders Johansen & Didier Sornette, 2001. "Bubbles And Anti-Bubbles In Latin-American, Asian And Western Stock Markets: An Empirical Study," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(06), pages 853-920.
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