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Publication year
Chaos and Nonlinear Dynamics: Application to Financial Markets.
Resource type
Author/contributor
- Hsieh, David A (Author)
Title
Chaos and Nonlinear Dynamics: Application to Financial Markets.
Abstract
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.
Publication
The Journal of Finance
Volume
46
Issue
5
Pages
1839-77
Date
1991-12
Citation
Hsieh, D. A. (1991). Chaos and Nonlinear Dynamics: Application to Financial Markets. The Journal of Finance, 46, 1839–1877.
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