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

DOI10.1016/J.MATCOM.2022.07.026MaRDI QIDQ2168131zbMATH OpenOpenAlexFDO

Authors 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

chaoseconophysicsfinancial time seriesphase space reconstruction

Mathematics Subject Classification ID

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

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Cites work

• A Maple package for improved global mapping forecast
• A new characterization of chaos from a time series
• A new method for improved global mapping forecast
• Alternative predictors in chaotic time series
• Detecting chaos and predicting in Dow Jones Index
• Dynamic characteristic of Bitcoin cryptocurrency in the reconstruction scheme
• scientific article; zbMATH DE number 3810550 (Why is no real title available?)
• scientific article; zbMATH DE number 44014 (Why is no real title available?)
• scientific article; zbMATH DE number 108109 (Why is no real title available?)
• scientific article; zbMATH DE number 1881996 (Why is no real title available?)
• scientific article; zbMATH DE number 772855 (Why is no real title available?)
• Improvement in global forecast for chaotic time series
• Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis
• Practical implementation of nonlinear time series methods: The TISEAN package
• Second class constraints and the consistency of optimal control theory in phase space
• The goodness of global fitting in the reconstruction scheme

Cited in

(1)

• Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics

Describes a project that uses

Uses Software

• TIMES
• LinMapTS
• TISEAN

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