MARTINGALES, NONLINEARITY, AND CHAOS
William Barnett () and
Apostolos Serletis ()
No 201225, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS from University of Kansas, Department of Economics
In this article we provide a review of the literature with respect to the efficient markets hypothesis and chaos. In doing so, we contrast the martingale behavior of asset prices to nonlinear chaotic dynamics, discuss some recent techniques used in distinguishing between probabilistic and deterministic behavior in asset prices, and report some evidence. Moreover, we look at the controversies that have arisen about the available tests and results, and raise the issue of whether dynamical systems theory is practical in finance.
Keywords: Efficient markets hypothesis; Chaotic dynamics (search for similar items in EconPapers)
JEL-codes: C22 G14 (search for similar items in EconPapers)
Date: 2012-09, Revised 2012-09
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Journal Article: Martingales, nonlinearity, and chaos (2000)
Working Paper: Martingales, Nonlinearity, and Chaos (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:kan:wpaper:201225
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