Investigating Chaos in Tehran Stock Exchange Index

Ali Moeini, Mehdi Ahrari and Saeed Sadat Madarshahi3
Additional contact information
Ali Moeini: Assistant Prof. of Faculty of Engineering, University of Tehran
Mehdi Ahrari: Research Assistant University of Tehran
Saeed Sadat Madarshahi3: Master of business administration (MBA), Sprott school of business (Ottawa)

Iranian Economic Review (IER), 2007, vol. 12, issue 1, 103-120

Abstract: Modeling and analysis of future prices has been hot topic for economic analysts in recent years. Traditionally, the complex movements in the prices are usually taken as random or stochastic process. However, they may be produced by a deterministic nonlinear process. Accuracy and efficiency of economic models in the short period forecasting is strategic and crucial for business world. Nonlinear models are efficient enough and suitable for short time forecasting. So notable attempts is devoted on understanding different economic time series’ and nonlinear dynamical models that can fit them. In this paper, it is tried to investigate Tehran stock exchange index time series. It is assumed. So, the Correlation Dimension (CD), the Hurst Exponent, and the Largest Lyapunov Exponent (LLE) of the time series are calculated. It is shown that the time series corresponding to Tehran stock Exchange index is nonlinear. The analyses of the results show enough evidence to accept the conjecture of existence chaotic behavior in Tehran stock exchange index.

Keywords: Chaos; Largest Lyapunov Exponent; Hurst Exponent; Correlation Dimension; Time series; Tehran stock Exchange Index (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
ftp://80.66.179.253/eut/journl/20071-6.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eut:journl:v:12:y:2007:i:1:p:103

Access Statistics for this article

Iranian Economic Review (IER) is currently edited by Dr.Hossien Abbasinejad

More articles in Iranian Economic Review (IER) from Faculty of Economics,University of Tehran.Tehran,Iran Contact information at EDIRC.
Bibliographic data for series maintained by [z.rahimalipour] ().