FINANCIAL MARKETS: CHAOTIC SYSTEM OR RANDOM?

Emílio Flávio Guerra Gomes () and Karlo Marques
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Emílio Flávio Guerra Gomes: Petrobras

Revista de Economia Mackenzie (REM), 2010, vol. 8, issue 1, 102-123

Abstract: This article investigates two opposite views about behavior of asset prices in financial markets. On one hand we have the efficient market hypothesis, illustrated by the CAPM model and the Garch model. On the other hand, will be exposed to the hypothesis of deterministic chaos in the behavior of asset prices in financial markets. For this, we use the Day and Huang model (1990).

Keywords: Financial market; Efficient market hypothesis; Deterministic chaos. (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:aft:journl:v:8:1:2010:jan:apr:p:102-123

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