High level chaos in the exchange and index markets

Ahmed BenSaïda and Houda Litimi

Chaos, Solitons & Fractals, 2013, vol. 54, issue C, 90-95

Abstract: Many studies were inconclusive about the presence of chaos in financial markets due to test misspecification. Chaos tests present in the literature need noise-free time series, since any measurement error will induce the rejection of chaos. Moreover, chaos was merely tested on a low-level basis. This paper investigates the presence of a high-level noisy chaos in financial data; simulations were conclusive about the power of the test. When applied to six stock indexes and six exchange rates, the hypothesis of chaotic dynamics was rejected for all data.

Date: 2013
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:54:y:2013:i:c:p:90-95

DOI: 10.1016/j.chaos.2013.06.004

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