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Descripción
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Interest in nonlinear dynamics, especially deterministic chaotic dynamics, has grown in both the financial papers and the academic literature. This has come about because the frequency of large moves in stock markets is greater than would be expected under a gaussian distribution. This paper tests the presence of chaos in some stock market indexes: MDAX, DAX, DOW JONES, EURO STOXX 50, Euronext 100 and others. Several parameters are measurement in the data series: Hurst Coefficients (HC), Fast Fourier Transform (FFT), Recurrence Quantification Analysis (RQA), Lyapunov Exponents (LE) and Correlation Dimension (CD). Due to an effective forecasting model would reduce risks, assist in planning and decision making, serie temporal evolution is predicted additionally. HC characterizes the persistence behavior in a serie: a value equal to 0.5 indicates that the sequence is either random or uncorrelated, a value in the range 0:5 | |
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Internacional
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Si |
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Nombre congreso
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Net-Works 2013 International Conference. Complex and Multiplex Networks: Structure, Applications and Related Topic. |
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Tipo de participación
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960 |
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Lugar del congreso
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El Escorial, Madrid |
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Revisores
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Si |
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ISBN o ISSN
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2174-6036 |
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DOI
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Fecha inicio congreso
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11/12/2013 |
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Fecha fin congreso
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13/12/2013 |
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Desde la página
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121 |
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Hasta la página
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130 |
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Título de las actas
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International Journal of Complex Systems in Science, vol. 3 |