Etude de la dynamique non-linéaire des rentabilités de la bourse de Casablanca

Study of the returns nonlinear dynamics of the Casablanca stock exchange

Nizare Riane

MPRA Paper from University Library of Munich, Germany

Abstract: The preponderance of the linear approach in the stock market modeling is the result of the Frisch-Slutsky paradigm which implies that the market can only converge to an equilibrium point or diverge, according to a monotonic or oscillatory trajectory. Moreover, this description of reality is insufficient, first by his inability to describe the fluctuations that tend to persist and market anomalies, second by the weakness of the linear statistical tests facing more complex processes. In this paper, we examine the existence of a non-linear dynamics that govern the evolution of the MASI Index. The analysis uses the concepts of Lyapunov exponents, correlation dimension and other tools to determine the nature of the underlying process. The results provide evidence of a non-linear process, but the determinism remains contested.

Keywords: Chaos; attractor; nonlinearity; determinism; Lyapunov exponent; correlation dimension. (search for similar items in EconPapers)
JEL-codes: C12 C19 C22 G12 (search for similar items in EconPapers)
Date: 2014-09-10, Revised 2015-02-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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