On the stock market recurrence

M S Baptista, I L Caldas

Research output: Contribution to journalArticle

14 Citations (Scopus)

Abstract

We analyze the return of the S & P 500 index and characterize its evolution as being typical of a low-dimensional recurrent deterministic system. The first Poincare return time of the chaotic logistic mapping trajectories is used to model the return evolution. The efficiency of the model is demonstrated by daily predictions over an interval of time since January, 1950 of this index, and long-term prediction for a period of 150 days. (C) 2000 Elsevier Science B.V. All rights reserved.

Original languageEnglish
Pages (from-to)348-354
Number of pages7
JournalPhysica. A, Statistical Mechanics and its Applications
Volume284
Issue number1-4
Early online date3 Aug 2000
DOIs
Publication statusPublished - 1 Sep 2000

Keywords

  • chaos
  • econophysics
  • stock market
  • dynamics
  • modeling
  • variance

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