Chaotic Dynamics of Asset Prices

Woongki Lee
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Woongki Lee: Yonsei University

No 5x7b2_v1, SocArXiv from Center for Open Science

Abstract: This study offers a new perspective on asset price dynamics by showing that seemingly irregular price movements are governed by a common structure. It separates the forces underlying these movements and develops three equivalent representations that make this structure more transparent. A central construct in the study is a time-varying parameter that classifies price dynamics into interpretable regimes. In the empirical analysis of aggregate stock prices, periods of higher parameter values, indicating more turbulent regimes, align closely with major economic downturns. This evidence supports the parameter’s use as a diagnostic tool for detecting regime shifts and periods of macro-financial turbulence.

Date: 2026-08-06
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Persistent link: https://EconPapers.repec.org/RePEc:osf:socarx:5x7b2_v1

DOI: 10.31219/osf.io/5x7b2_v1

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