Chaos & nonlinear dynamics in the financial markets : theory, evidence and applications / Robert R. Trippi, editor.

Format
Book
Language
English
Published/​Created
Chicago : Irwin Professional Publishing, c1995.
Description
xxvi, 505 pages : illustrations ; 24 cm + 1 computer disc (3 1/2 in.)

Details

Subject(s)
Related name
Summary note
  • Chaos & Nonlinear Dynamics in the Financial Markets explores both theory and empirical results related to nonlinear determinism in the dynamics of asset prices. It includes a wealth of material on the properties of chaotic processes relevant to markets, along with statistical and other tests which have been developed specifically to detect the presence of chaotic behavior.
  • This authoritative guide covers a comprehensive range of issues associated with chaos theory. It includes sections on theoretical foundations; evidence of chaos in the stock market, commodities markets, and money markets; and a section on advanced methodological issues. You'll also find included Chaos Explorer, a complimentary software package that graphically illustrates the chaotic processes that are referenced throughout the book.
Notes
Disk c1996.
Bibliographic references
Includes bibliographical references and indexes.
System details
System requirements for computer disk: PC; Microsoft Windows.
Contents
  • 1. Nonlinear and Chaotic Dynamics: An Economist's Guide / Michael D. Weiss -- 2. When Random Is Not Random: An Introduction to Chaos in Market Prices / Robert Savit -- 3. Adaptive Learning and Roads to Chaos: The Case of the Cobweb / Cars H. Hommes -- 4. Chaos Models and Their Implications for Forecasting / William J. Baumol and Richard E. Quandt -- 5. Structural Shifts and the Volatility of Chaotic Markets / Sherrill Shaffer -- 6. Testing for Nonlinear Dependence in Daily Stock Indices / Thomas Willey -- 7. A Chaotic Attractor for the S&P 500 / Edgar E. Peters -- 8. Evidence of Chaos in the S&P 500 Cash Index / Robert M. Eldridge, Christopher Bernhardt and Irene Mulvey -- 9. Investor Preferences and the Correlation Dimension / Steve Satchell and Allan Timmermann -- 10. Modeling Structured Nonlinear Knowledge to Predict Stock Market Returns / Ypke Hiemstra -- 11. Evidence of Chaos in Commodity Futures Prices / Gregory P. DeCoster, Walter C. Labys and Douglas W. Mitchell --
  • 12. "Chaos" in Futures Markets? A Nonlinear Dynamical Analysis / Steven C. Blank -- 13. Nonlinear Dynamics of Daily Futures Prices: Conditional Heteroskedasticity or Chaos? / Seung-Ryong Yang and B. Wade Brorsen -- 14. Measuring the Strangeness of Gold and Silver Rates of Return / Murray Frank and Thanasis Stengos -- 15. A Low-Dimensional Fractal Attractor in the Foreign-Exchange Markets? / Dominique M. Guillaume -- 16. Implications of Nonlinear Dynamics for Financial Risk Management / David A. Hsieh -- 17. Chaotic Behavior in Exchange-Rate Series: First Results for the Peseta-U.S. Dollar Case / Oscar Bajo-Rubio, Fernando Fernandez-Rodriguez and Simon Sosvilla-Rivero -- 18. Nonlinearity in the Interest Rate Risk Premium / Ted Jaditz and Chera L. Sayers -- 19. Using the Correlation Exponent to Decide Whether an Economic Series Is Chaotic / T. Liu, Clive W. J. Granger and Walter P. Heller -- 20. A New Test for Chaos / Claire G. Gilmore --
  • 21. Measuring Complexity of Nonlinearity by a Relative Index with Application to Financial Time Series / M. A. Kaboudan -- 22. Nonlinearities and Chaotic Effects in Options Prices / Robert Savit -- 23. Chaos, Taxes, Stabilization, and Turnover / Sherrill Shaffer -- 24. Neural Learning of Chaotic Time Series Invariants / Gustavo Deco, Bernd Schuermann and Robert R. Trippi.
Other title(s)
Chaos and nonlinear dynamics in the financial markets: theory, evidence and applications
Title on disk
  • Chaos explorer for Microsoft Windows
ISBN
1557388571
OCLC
33230980
RCP
C - S