Testing for Nonlinearity and Deterministic Chaos in Monthly Japanese Stock Market Data

Teo Jasic
Additional contact information
Teo Jasic: University of California at Berkeley

Zagreb International Review of Economics and Business, 1998, vol. 1, issue 1, 61-81

Abstract: It has been widely recognised that the randomness of a stock market may actually be an indicator of an underlying strange attractor which has a fractal structure and supports chaotic motion. The application of non-linear methods to such financial data may indicate the presence of nonlinearities and low-dimensional chaos. These methods include rescaled range (R/S) analysis, correlation dimension calculation and estimation of Lyapunov exponents. This study presents a preliminary analysis of these tests when applied to the monthly TOPIX data of the Tokyo Stock Exchange. Although there are a number of limitations for applied non-linear methods such as the presence of noise and limited data size, the results indicate the presence of nonlinearities and the long memory effect in the observed data set. In order to complement these methods, neural networks are used for non-linear modelling and the prediction of the TOPIX data. The results can serve as an additional evidence of a deterministic system by givig accuracy estimates for short-term prediction.

Keywords: non-linear analysis; chaos; neural networks; prediction (search for similar items in EconPapers)
JEL-codes: C8 (search for similar items in EconPapers)
Date: 1998
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.efzg.hr/default.aspx?id=6045 (text/html)
Abstract only available on-line

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:zag:zirebs:v:1:y:1998:i:1:p:61-81

Ordering information: This journal article can be ordered from
Zagreb International Review of Economics and Business, Faculty of Economics and Business, Trg J. F. Kennedy 6, 10000 Zagreb, Croatia.
http://www.efzg.hr/default.aspx?id=6045

Access Statistics for this article

Zagreb International Review of Economics and Business is currently edited by Soumitra Sharma

More articles in Zagreb International Review of Economics and Business from Faculty of Economics and Business, University of Zagreb Contact information at EDIRC.
Bibliographic data for series maintained by Jurica Šimurina ( this e-mail address is bad, please contact ).