The search for evidence of chaos in FTSE‐100 daily returns

Paula L. Varson and Paul Doran

European Financial Management, 1995, vol. 1, issue 2, 201-210

Abstract: This study provides an elementary discussion of deterministic chaos as it applies to security returns. the study demonstrates a simple technique, well known in the physical sciences, for discriminating between random and chaotic time‐series. Applying the technique to a time‐series of daily returns on the FTSE‐100, an index comprised of the stocks of the 100 largest British firms, results in evidence that the time‐series is random, not chaotic.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:bla:eufman:v:1:y:1995:i:2:p:201-210

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