Instabilities and Chaotic Behavior of Stock Prices in International Capital Markets

Instabilities and Chaotic Behavior of Stock Prices in International Capital Markets

In this paper chaos is viewed as an alternative approach to modeling complex and random appearing behavior. The spatial (static) characteristics of weekly returns and price levels for eleven International Indices are quantified. We find evidence that all countries exhibit similar static characterist...

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Veröffentlicht in:Managerial finance 1994-05, Vol.20 (5), p.14-42
1. Verfasser: Philippatos, George C
Format: Artikel
Sprache:eng
Schlagworte:
Chaos theory
Correlation analysis
International finance
Nonlinear programming
Securities markets
Stochastic models
Stock prices
Studies
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Beschreibung
Zusammenfassung:In this paper chaos is viewed as an alternative approach to modeling complex and random appearing behavior. The spatial (static) characteristics of weekly returns and price levels for eleven International Indices are quantified. We find evidence that all countries exhibit similar static characteristics. Evidence presented supports the examination of price series instead of returns.
ISSN:0307-4358
0307-4388
1758-7743
DOI:10.1108/eb018473