Quantifying chaos in stock markets before and during COVID-19 pandemic from the phase space reconstruction

DOI10.1016/j.matcom.2022.07.026OpenAlexW4289080046MaRDI QIDQ2168131

Paulo Ricardo L. Alves

Publication date: 31 August 2022

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2022.07.026

zbMATH Keywords

chaosfinancial time serieseconophysicsphase space reconstruction

Mathematics Subject Classification ID

Biology and other natural sciences (92-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• TISEAN
• TIMES
• LinMapTS

Cites Work

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• A Maple package for improved global mapping forecast
• Detecting chaos and predicting in Dow Jones Index
• Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis
• Improvement in global forecast for chaotic time series
• A new method for improved global mapping forecast
• A new characterization of chaos from a time series
• Alternative predictors in chaotic time series
• Dynamic characteristic of Bitcoin cryptocurrency in the reconstruction scheme
• Second class constraints and the consistency of optimal control theory in phase space
• The goodness of global fitting in the reconstruction scheme
• Practical implementation of nonlinear time series methods: The <scp>TISEAN</scp> package

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