Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos

Evidence Of Chaotic Behavior In American Stock Markets

Christian Espinosa Méndez
Authors registered in the RePEc Author Service: Christian Espinosa-Méndez

MPRA Paper from University Library of Munich, Germany

Abstract: This article validates the chaotic behavior in the Argentinean, Brazilian, Canadian, Chilean, American, Peruvian and Mexican Stock Markets using the MERVAL, BOVESPA, S&P TSX COMPOSITE, IPSA, IGPA, S&P 500, DOW JONES INDUSTRIALS, NASDAQ, IGBVL and IPC Stock Indexes respectively. The results of different techniques and methods like: Graphic Analysis, Recurrence Analysis, Temporal Space Entropy, Hurst Coefficient, Lyapunov Exponential and Correlation Dimension support the hypothesis that the stock markets behave in a chaotic way and rejected the hypothesis of randomness. Our conclusion validates the use of prediction techniques in those stock markets. It’s remarkable the result of the Hurst Coefficient Technique, that in average was of 0,75 for the indexes of this study which would justify the use of ARFIMA models among others for the prediction of such series.

Keywords: Chaos Theory; Recurrence Analysis; Temporal Space Entropy; Hurst Coefficient; Lyapunov Exponential; Correlation Dimension; BDS Test (search for similar items in EconPapers)
JEL-codes: C12 C14 G10 G14 G15 (search for similar items in EconPapers)
Date: 2005-10-20, Revised 2006-06-30
New Economics Papers: this item is included in nep-ets, nep-fmk and nep-rmg
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