Stock market dynamics

M S Baptista, I L Caldas

Research output: Contribution to journalArticlepeer-review

12 Citations (Scopus)

Abstract

We elucidate on several empirical statistical observations of stock market returns. Moreover, we find that these properties are recurrent and are also present in invariant measures of low-dimensional dynamical systems. Thus, we propose that the returns are modeled by the first Poincare return time of a low-dimensional chaotic trajectory. This modeling, which captures the recurrent properties of the return fluctuations, is able to predict well the evolution of the observed statistical quantities. In addition, it explains the reason for which stocks present simultaneously dynamical properties and high uncertainties. In our analysis, we use data from the S&P 500 index and the Brazilian stock Telebris. (C) 2002 Elsevier Science B.V. All rights reserved.

Original languageEnglish
Pages (from-to)539-564
Number of pages26
JournalPhysica. A, Statistical Mechanics and its Applications
Volume312
Issue number3-4
Early online date16 May 2002
DOIs
Publication statusPublished - 15 Sep 2002

Keywords

  • chaos
  • econophysics
  • stock market
  • dynamics
  • modeling
  • recurrence
  • fluctuations
  • statistics
  • times

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