Stock market dynamics

DOI10.1016/S0378-4371(02)00847-6MaRDI QIDQ1611125zbMATH OpenOpenAlexFDO

Authors M. S. Baptista, Iberê L. Caldas

Publication date 21 August 2002

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-4371(02)00847-6

zbMATH Keywords

first Poincare return timeinvariant measureslow-dimensional dynamical systems

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Auctions, bargaining, bidding and selling, and other market models (91B26)

Recommendations

• A dynamical approach to stock market fluctuations
• A Stylized Model for Long-Run Index Return Dynamics
• Complexity and the character of stock returns: empirical evidence and a model of asset prices based on complex investor learning
• COMPLEX DYNAMICS IN A SIMPLE STOCK MARKET MODEL
• Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system

Cites work

• A Mathematical Theory of Communication
• Dimension, entropy and Lyapunov exponents
• Econophysics: Scaling and its breakdown in finance
• Elements for a theory of financial risks
• scientific article; zbMATH DE number 3903723 (Why is no real title available?)
• scientific article; zbMATH DE number 3775877 (Why is no real title available?)
• NEURAL EXCITABILITY, SPIKING AND BURSTING
• On fluctuations and the exponential statistics of return times
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight

Cited in

(21)

• A note on testing regime switching assumption based on recurrence times
• How long the singular value decomposed entropy predicts the stock market? -- Evidence from the Dow Jones industrial average index
• Dynamic communities in stock market
• Financial market dynamics
• Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system
• Quantifying chaos in stock markets before and during COVID-19 pandemic from the phase space reconstruction
• Five years of phase space dynamics of the Standard \& Poor's 500
• A dynamical approach to stock market fluctuations
• Discovering stock dynamics through multidimensional volatility phases
• Clarifying Some Misconceptions About Stock Market Economies
• A Random Walk or Color Chaos on the Stock Market? Time-Frequency Analysis of S&P Indexes
• Predicting changes in dynamical behaviour of asset price returns
• Mean first passage time for a class of non-Markovian processes
• Stock market dynamics with institutional trading
• How to control stock markets
• Local and global approaches to the problem of Poincaré recurrences. Applications in nonlinear dynamics
• Dynamical estimates of chaotic systems from Poincaré recurrences
• scientific article; zbMATH DE number 5589330 (Why is no real title available?)
• scientific article; zbMATH DE number 2196075 (Why is no real title available?)
• Recurrence time statistics for finite size intervals
• Identifying the nonlinear dynamics of logistic mapping using the modified 0--1 test for chaos

This page was built for publication: Stock market dynamics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1611125)