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Chaos and Nonlinear Dynamics: Application to Financial Markets

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Cited by:

  1. Erzgräber, Hartmut & Strozzi, Fernanda & Zaldívar, José-Manuel & Touchette, Hugo & Gutiérrez, Eugénio & Arrowsmith, David K., 2008. "Time series analysis and long range correlations of Nordic spot electricity market data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6567-6574.
  2. Gordon R. Richards, 2004. "A fractal forecasting model for financial time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(8), pages 586-601.
  3. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-059, New York University, Leonard N. Stern School of Business-.
  4. Andy Wui-Wing Cheng & Nikolai Sheung-Chi Chow & David Kam-Hung Chui & Wing-Keung Wong, 2019. "The Three Musketeers Relationships between Hong Kong, Shanghai and Shenzhen Before and After Shanghai–Hong Kong Stock Connect," Sustainability, MDPI, vol. 11(14), pages 1-20, July.
  5. Kevin J. Dooley & Andrew H. Van de Ven, 1999. "Explaining Complex Organizational Dynamics," Organization Science, INFORMS, vol. 10(3), pages 358-372, June.
  6. Elena Andreou, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 290-318.
  7. Menezes, Rui & Dionísio, Andreia & Hassani, Hossein, 2012. "On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 369-384.
  8. Li, Jun-Feng & Jahanshahi, Hadi & Kacar, Sezgin & Chu, Yu-Ming & Gómez-Aguilar, J.F. & Alotaibi, Naif D. & Alharbi, Khalid H., 2021. "On the variable-order fractional memristor oscillator: Data security applications and synchronization using a type-2 fuzzy disturbance observer-based robust control," Chaos, Solitons & Fractals, Elsevier, vol. 145(C).
  9. García Ruiz Reyna Susana & Cruz Aké Salvador & Venegas Martínez Francisco, 2014. "Una medida de eficiencia de mercado: Un enfoque de teoría de la información," Contaduría y Administración, Accounting and Management, vol. 59(4), pages 137-166, octubre-d.
  10. Zhang, Yali & Wang, Jun, 2019. "Linkage influence of energy market on financial market by multiscale complexity synchronization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 254-266.
  11. Barnett, William A. & Serletis, Apostolos & Serletis, Demitre, 2015. "Nonlinear And Complex Dynamics In Economics," Macroeconomic Dynamics, Cambridge University Press, vol. 19(8), pages 1749-1779, December.
  12. Li, Hongquan & Hong, Yongmiao, 2011. "Financial volatility forecasting with range-based autoregressive volatility model," Finance Research Letters, Elsevier, vol. 8(2), pages 69-76, June.
  13. Pedro J. F. de Lima & Michelle L. Barnes, 2000. "Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities," School of Economics and Public Policy Working Papers 2000-05, University of Adelaide, School of Economics and Public Policy.
  14. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2000. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," Multinational Finance Journal, Multinational Finance Journal, vol. 4(3-4), pages 159-179, September.
  15. Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George, 2009. "A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects," Journal of Econometrics, Elsevier, vol. 150(2), pages 151-166, June.
  16. Kian-Ping Lim & M. Azali & M.S. Habibullah & Venus Khim-Sen Liew, 2003. "Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets," Finance 0308001, University Library of Munich, Germany.
  17. repec:zbw:bofrdp:1994_011 is not listed on IDEAS
  18. Kian-Ping Lim & Melvin J. Hinich & Venus Khim-Sen Liew, 2005. "Statistical Inadequacy of GARCH Models for Asian Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 4(3), pages 263-279, December.
  19. Yi-Ting Chen & Chung-Ming Kuan, 2002. "Time irreversibility and EGARCH effects in US stock index returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 565-578.
  20. Melike Bildirici & Nilgun Guler Bayazit & Yasemen Ucan, 2020. "Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM," Energies, MDPI, vol. 13(11), pages 1-18, June.
  21. Tiwari, Aviral Kumar & Gupta, Rangan, 2019. "Chaos in G7 stock markets using over one century of data: A note," Research in International Business and Finance, Elsevier, vol. 47(C), pages 304-310.
  22. R. M. Eldridge & Maurice Peat & Max Stevenson, 2003. "The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets," Working Paper Series 122, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  23. Sanderson, Rohnn, 2013. "Does Monetary Policy cause Randomness or Chaos? A Case Study from the European Central Bank," MPRA Paper 52537, University Library of Munich, Germany.
  24. Thomakos, Dimitrios D. & Wang, Tao, 2003. "Realized volatility in the futures markets," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 321-353, May.
  25. Abdol S. Soofi & Zhe Li & Xiaofeng Hui, 2012. "Nonlinear interdependence of the Chinese stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 397-410, November.
  26. B. Jirasakuldech & Riza Emekter & Unro Lee, 2008. "Business conditions and nonrandom walk behaviour of US stocks and bonds returns," Applied Financial Economics, Taylor & Francis Journals, vol. 18(8), pages 659-672.
  27. Andreou, Elena & Ghysels, Eric, 2002. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 363-376, July.
  28. Omar, Ayman M.A. & Lambe, Brendan J & Wisniewski, Tomasz Piotr, 2021. "Perceptions of the threat to national security and the stock market," Journal of Economic Behavior & Organization, Elsevier, vol. 186(C), pages 504-522.
  29. Bo Qian & Khaled Rasheed, 2010. "Foreign exchange market prediction with multiple classifiers," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(3), pages 271-284.
  30. Lucía Inglada-Pérez & Pablo Coto-Millán, 2021. "A Chaos Analysis of the Dry Bulk Shipping Market," Mathematics, MDPI, vol. 9(17), pages 1-35, August.
  31. Robert C. M. Beyer & Lazar Milivojevic, 2023. "Dynamics and synchronization of global equilibrium interest rates," Applied Economics, Taylor & Francis Journals, vol. 55(28), pages 3195-3214, June.
  32. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
  33. Bonache, Adrien & Moris, Karen, 2009. "Nonlinear and chaotic patterns in Japanese video game console sales and consequences for management control," MPRA Paper 18196, University Library of Munich, Germany.
  34. Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
  35. Graham Newell & Maurice Peat & Max Stevenson, 1997. "Testing for Evidence of Nonlinear Structure in Daily and Weekly United Kingdom Stock and Property Market Indicies," Working Paper Series 73, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  36. Qiao, Zhuo & Chu, Patrick Kuok-Kun, 2014. "Does fine wine price contain useful information to forecast GDP? Evidence from major developed countries," Economic Modelling, Elsevier, vol. 38(C), pages 75-79.
  37. Liu, Weilong & Zhang, Yong & Liu, Kailong & Quinn, Barry & Yang, Xingyu & Peng, Qiao, 2023. "Evolutionary multi-objective optimisation for large-scale portfolio selection with both random and uncertain returns," QBS Working Paper Series 2023/02, Queen's University Belfast, Queen's Business School.
  38. Takala, Kari & Viren, Matti, 1996. "Chaos and nonlinear dynamics in financial and nonfinancial time series: Evidence from Finland," European Journal of Operational Research, Elsevier, vol. 93(1), pages 155-172, August.
  39. Evžen Kočenda, 1996. "Volatility of a Seemingly Fixed Exchange Rate," Eastern European Economics, Taylor & Francis Journals, vol. 34(6), pages 37-67, December.
  40. Yang, Jian & Cabrera, Juan & Wang, Tao, 2010. "Nonlinearity, data-snooping, and stock index ETF return predictability," European Journal of Operational Research, Elsevier, vol. 200(2), pages 498-507, January.
  41. Ayşe İşi & Fatih Çemrek, 2019. "Comparison of the Global, Local and Semi-Local Chaotic Prediction Methods for Stock Markets: The Case of FTSE-100 Index," Alphanumeric Journal, Bahadir Fatih Yildirim, vol. 7(2), pages 289-300, December.
  42. Benavides Guillermo, 2010. "Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective," Working Papers 2010-12, Banco de México.
  43. Opong, Kwaku K. & Mulholland, Gwyneth & Fox, Alan F. & Farahmand, Kambiz, 1999. "The behaviour of some UK equity indices: An application of Hurst and BDS tests1," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 267-282, September.
  44. De Gooijer, Jan G. & Sivarajasingham, Selliah, 2008. "Parametric and nonparametric Granger causality testing: Linkages between international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2547-2560.
  45. Degiannakis, Stavros & Xekalaki, Evdokia, 2007. "Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models," MPRA Paper 96324, University Library of Munich, Germany.
  46. Samuel Olorunfemi Adams & Tanimu Mohammed & Samuel Olorunfemi Adams, 2022. "Modeling The Volatility For Some Selected Beverages Stock Returns In Nigeria (2012-2021): A Garch Model Approach," Matrix Science Mathematic (MSMK), Zibeline International Publishing, vol. 6(2), pages 41-51, November.
  47. Marcos Alvarez Díaz & Lucy Amigo Dobano & Francisco Rodríguez de Prado, "undated". "Taxing on Housing: A Welfare Evaluation of the Spanish Personal Income Tax," Studies on the Spanish Economy 142, FEDEA.
  48. Kim Hiang Liow & James R. Webb, 2008. "Nonlinear Return Dependence in Major Real Estate Markets," Journal of Property Research, Taylor & Francis Journals, vol. 25(4), pages 285-319, December.
  49. Peter F. Christoffersen & Francis X. Diebold, 2006. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, vol. 52(8), pages 1273-1287, August.
  50. Artem Prokhorov, 2008. "Nonlinear dynamics and chaos theory in economics: a historical perspective (in Russian)," Quantile, Quantile, issue 4, pages 79-92, March.
  51. Charles, Amélie & Darné, Olivier, 2009. "The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests," Economic Systems, Elsevier, vol. 33(2), pages 117-126, June.
  52. Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio, 2015. "Does realized skewness predict the cross-section of equity returns?," Journal of Financial Economics, Elsevier, vol. 118(1), pages 135-167.
  53. Tsangyao Chang & Chi-Chen Chiu & Chien-Chung Nieh, 2007. "Rational bubbles in the US stock market? Further evidence from a nonparametric cointegration test," Applied Economics Letters, Taylor & Francis Journals, vol. 14(7), pages 517-521.
  54. Joe Appiah‐Kusi & Kojo Menyah, 2003. "Return predictability in African stock markets," Review of Financial Economics, John Wiley & Sons, vol. 12(3), pages 247-270.
  55. Murto, Risto, 1994. "Nonlinear dynamics of speculative attacks on the Finnish markka, 1987-1992," Research Discussion Papers 13/1994, Bank of Finland.
  56. Arjen Hussem & Casper Ewijk & Harry Rele & Albert Wong, 2016. "The Ability to Pay for Long-Term Care in the Netherlands: A Life-cycle Perspective," De Economist, Springer, vol. 164(2), pages 209-234, June.
  57. Murinde V. & Poshakwala S., 2001. "Volatility in the Emerging Stock Markets in Central and Eastern Europe: Evidence on Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 73-102, July - De.
  58. H. Kent Baker & Abdul Rahman & Samir Saadi, 2008. "The day‐of‐the‐week effect and conditional volatility: Sensitivity of error distributional assumptions," Review of Financial Economics, John Wiley & Sons, vol. 17(4), pages 280-295, December.
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  60. John Barkoulas & Christopher F. Baum & Joseph Onochie, 1996. "Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate," Boston College Working Papers in Economics 320., Boston College Department of Economics.
  61. Alemany, Nuria & Aragó, Vicent & Salvador, Enrique, 2020. "Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 269-280.
  62. Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. Estadística y Econometría. DS 3664, Universidad Carlos III de Madrid. Departamento de Estadística.
  63. Charilaos Mertzanis, 2013. "Risk Management Challenges after the Financial Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(3), pages 285-320, November.
  64. Bollen, Bernard & Inder, Brett, 2002. "Estimating daily volatility in financial markets utilizing intraday data," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 551-562, December.
  65. Richard W. Kopcke, 1992. "Profits and stock prices: the importance of being earnest," New England Economic Review, Federal Reserve Bank of Boston, issue Mar, pages 26-44.
  66. Germán G. Creamer & Tal Ben-Zvi, 2021. "Volatility and Risk in the Energy Market: A Trade Network Approach," Sustainability, MDPI, vol. 13(18), pages 1-17, September.
  67. Camacho, Maximo & Romeu, Andres & Ruiz-Marin, Manuel, 2021. "Symbolic transfer entropy test for causality in longitudinal data," Economic Modelling, Elsevier, vol. 94(C), pages 649-661.
  68. Vogl, Markus, 2022. "Controversy in financial chaos research and nonlinear dynamics: A short literature review," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
  69. A. Corcos & J-P Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2002. "Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 264-281.
  70. Evzen Kocenda & Lubos Briatka, 2004. "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," CERGE-EI Working Papers wp235, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  71. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, vol. 71(2), pages 579-625, March.
  72. Stephen Brown & William Goetzmann & Alok Kumar, 1998. "The Dow Theory: William Peter Hamilton's Track Record Re-Considered," Yale School of Management Working Papers ysm85, Yale School of Management, revised 01 Apr 2008.
  73. Ni, Zhong-Xin & Wang, Da-Zhong & Xue, Wen-Jun, 2015. "Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model," Economic Modelling, Elsevier, vol. 50(C), pages 266-274.
  74. Vasilios Plakandaras & Rangan Gupta & Mark E. Wohar, 2019. "Persistence of economic uncertainty: a comprehensive analysis," Applied Economics, Taylor & Francis Journals, vol. 51(41), pages 4477-4498, September.
  75. Rashid, Abdul, 2007. "Stock prices and trading volume: An assessment for linear and nonlinear Granger causality," Journal of Asian Economics, Elsevier, vol. 18(4), pages 595-612, August.
  76. Andrada-Félix Julián & Fernadez-Rodriguez Fernando & Garcia-Artiles Maria-Dolores & Sosvilla-Rivero Simon, 2003. "An Empirical Evaluation of Non-Linear Trading Rules," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(3), pages 1-32, October.
  77. Min Zhu & David Philpotts & Maxwell J Stevenson, 2012. "The benefits of tree-based models for stock selection," Journal of Asset Management, Palgrave Macmillan, vol. 13(6), pages 437-448, December.
  78. Bastos, João A. & Caiado, Jorge, 2011. "Recurrence quantification analysis of global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(7), pages 1315-1325.
  79. Freund, William C. & Larrain, Maurice & Pagano, Michael S., 1997. "Market efficiency before and after the introduction of electronic trading at the Toronto stock exchange," Review of Financial Economics, Elsevier, vol. 6(1), pages 29-56.
  80. Jati Sengupta & Yijuan Zheng, 1997. "Estimating skewness persistence in market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 549-558.
  81. Tim Bollerslev & Benjamin Hood & John Huss & Lasse Heje Pedersen, 2018. "Risk Everywhere: Modeling and Managing Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 31(7), pages 2729-2773.
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  83. Moreno, David & Olmeda, Ignacio, 2007. "Is the predictability of emerging and developed stock markets really exploitable?," European Journal of Operational Research, Elsevier, vol. 182(1), pages 436-454, October.
  84. Hiremath, Gourishankar S & Bandi, Kamaiah, 2010. "Some Further Evidence on the Behaviour of Stock Returns in India," MPRA Paper 48518, University Library of Munich, Germany.
  85. Takala, Kari & Virén, Matti, 1995. "Testing nonlinear dynamics, long memory and chaotic behaviour with macroeconomic data," Bank of Finland Research Discussion Papers 9/1995, Bank of Finland.
  86. Blasco, Natividad & Corredor, Pilar & Del Rio, Cristina & Santamaria, Rafael, 2005. "Bad news and Dow Jones make the Spanish stocks go round," European Journal of Operational Research, Elsevier, vol. 163(1), pages 253-275, May.
  87. Catherine Araujo Bonjean, 1998. "Les marchés mondiaux des produits agricoles sont-ils efficients ?," Économie rurale, Programme National Persée, vol. 243(1), pages 8-15.
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  97. Andrada-Félix, Julián & Fernández-Rodríguez, Fernando & Fuertes, Ana-Maria, 2016. "Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?," International Journal of Forecasting, Elsevier, vol. 32(3), pages 695-715.
  98. Wang, Tao & Yang, Jian, 2010. "Nonlinearity and intraday efficiency tests on energy futures markets," Energy Economics, Elsevier, vol. 32(2), pages 496-503, March.
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  112. Chung Y. Peter & Zhou Zhong-guo, 2012. "The Pricing of Time-Varying Exchange Rate Risk in the Stock Market: A Nonparametric Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-33, January.
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  114. Selmi, Refk & Makhlouf, Farid & Kasmaoui, Kamal & Errami, Youssef & Ben Atta, Oussama, 2022. "“There is No vaccine for climate change” - How well Governments’COVID-19 green stimulus announcements contribute to business sustainability?," International Economics, Elsevier, vol. 171(C), pages 1-17.
  115. Saadi, Samir & Rahman, Abdul, 2008. "Evidence of non-stationary bias in scaling by square root of time: Implications for Value-at-Risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(3), pages 272-289, July.
  116. Michel Beine & Gunther Capelle-Blancard & Helene Raymond, 2008. "International nonlinear causality between stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 663-686.
  117. Bohumil Stádník & Algita Miečinskienė, 2015. "Complex Model of Market Price Development and its Simulation," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(4), pages 786-807, August.
  118. Scott C. Linn & Nicholas S. P. Tay, 2007. "Complexity and the Character of Stock Returns: Empirical Evidence and a Model of Asset Prices Based on Complex Investor Learning," Management Science, INFORMS, vol. 53(7), pages 1165-1180, July.
  119. Gunther Capelle-Blancard & Séverine Vandelanoite, 2002. "Relations intrajournalières entre l'indice CAC 40 et les options sur indice : Quel est le marché préféré des investisseurs informés ?," Annals of Economics and Statistics, GENES, issue 66, pages 143-177.
  120. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December.
  121. Small Michael & Tse Chi K., 2003. "Determinism in Financial Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(3), pages 1-31, October.
  122. Evzen Kocenda, 2001. "An Alternative To The Bds Test: Integration Across The Correlation Integral," Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 337-351.
  123. Guglielmo Maria Caporale & Luis A. Gil‐Alana & James C. Orlando, 2016. "Linkages Between the US and European Stock Markets: A Fractional Cointegration Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(2), pages 143-153, April.
  124. Arjen Hussem & Casper Ewijk & Harry Rele & Albert Wong, 2016. "The Ability to Pay for Long-Term Care in the Netherlands: A Life-cycle Perspective," De Economist, Springer, vol. 164(2), pages 209-234, June.
  125. Tsangyao Chang & Chi-Wei Su & Hsiao-Ping Chu & Hsu-Ling Chang, 2005. "Does Rational Bubbles Exist in the Taiwan Stock Market? Evidence from a Nonparametric Cointegration Test," Economics Bulletin, AccessEcon, vol. 3(41), pages 1-9.
  126. Toshiaki Watanabe, 2002. "Margin requirements, positive feedback trading, and stock return autocorrelations: the case of Japan," Applied Financial Economics, Taylor & Francis Journals, vol. 12(6), pages 395-403.
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