Controversy in financial chaos research and nonlinear dynamics: A short literature review

Markus Vogl

Chaos, Solitons & Fractals, 2022, vol. 162, issue C

Abstract: In this study, we apply a bibliometric analysis paired with a subsequent snowball sampling procedure. Moreover, we display a full citation network analysis, outlining the most relevant publications and contributions, defining relevant measures and show the interconnectivities and gaps within the existing research. Second, we will present a controversy within financial chaos literature, namely, whether financial dataset dynamics are chaotic or stochastic in nature and state empirical insights derived from the sampled literature. In addition, we show the interconnections between chaoticity, Hurst exponents, multifractality, scaling, long memory and market efficiency. Finally, we conclude our findings and discuss critically future avenues of research.

Keywords: Nonlinear dynamics; Chaos; Financial chaos; Literature review; Financial markets; Quantitative modelling (search for similar items in EconPapers)
JEL-codes: C01 C02 C18 C22 G1 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:162:y:2022:i:c:s0960077922006543

DOI: 10.1016/j.chaos.2022.112444

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