APPLICATIONS OF CHAOS THEORY IN TURBULENT FINANCIAL MARKETS

Gabriela Prelipcean, Gheorghe Oprescu and Mircea Boscoianu

Revista Economica, 2012, vol. Supplement, issue 1, 671-679

Abstract: The recent turbulences in global financial markets demonstrated that the market mechanisms are not sufficient understudied and there are necessary new approaches with a better capability to treat the effects and the impacts of such a high volatility. The aim of this paper is to present the possibilities to use R/S statistics, instruments to deal with persistence/, anti-persistence and fractional noises. A comparative analysis between Hurst processes, random walk/ Brownian motion processes permits the understanding the treatment of ?memory effects? measuring new financial markets qualities, persistence and anti- persistence.

Date: 2012
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