Chaos and Fractal Impact on Economics

El impacto en la ciencia económica de la teoría del caos y de los fractales: Teoría y aplicaciones

Andrés Fernández Díaz ()
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Andrés Fernández Díaz: Universidad Complutense de Madrid. Departamento de Economía Aplicada III (Política Económica)., https://www.ucm.es//departamento-de-economia-aplicada,-publica-y-politica

No 15-02, Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales

Abstract: Complexity is one of the most important characteristic properties of the economic behaviour. The new field of knowledge called Chaotic Dynamic Economics born precisely with the objective of understanding, structuring and explaining in an endogenous way such complexity. In this paper, and after scanning the principal concepts and techniques about the mathematics of chaos and the fractal geometry, we analyze the possibilities of application of these valuable tools to the different areas of Economics. After a set of general considerations, within a wide landscape, we tackle the study of two main economic areas: the existence of chaos in time series, and the eventual chaotic behaviour in the Capital Markets during the recent period of crisis, considering the IBEX 35 daily data in the years 2006-2013, obtaining very interesting results.

Keywords: Complexity; Chaos; Fractal; Non-linearity; Correlation dimension; Fractal dimension; Lyapunov exponents; Time series; Capital markets; Predictions.; Complejidad; Caos; fractales; No-linealidad; Dimensión de correlación; Dimensión fractal; Exponente de Lyapunov; Series temporales; Mercado de capitales; Predicción. (search for similar items in EconPapers)
JEL-codes: C02 C22 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2015-02
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