Chaos and Nonlinear Dynamics: Application to Financial Markets

Published

Journal Article

After the stock market crash of October 19, 1987, interest in nonlinear dynamics, especially deterministic chaotic dynamics, has increased in both the financial press and the academic literature. This has come about because the frequency of large moves in stock markets is greater than would be expected under a normal distribution. There are a number of possible explanations. A popular one is that the stock market is governed by chaotic dynamics. What exactly is chaos and how is it related to nonlinear dynamics? How does one detect chaos? Is there chaos in financial markets? Are there other explanations of the movements of financial prices other than chaos? The purpose of this paper is to explore these issues. 1991 The American Finance Association

Full Text

Duke Authors

Cited Authors

  • HSIEH, DA

Published Date

  • January 1, 1991

Published In

Volume / Issue

  • 46 / 5

Start / End Page

  • 1839 - 1877

Electronic International Standard Serial Number (EISSN)

  • 1540-6261

International Standard Serial Number (ISSN)

  • 0022-1082

Digital Object Identifier (DOI)

  • 10.1111/j.1540-6261.1991.tb04646.x

Citation Source

  • Scopus