Chaos and Nonlinear Dynamics : Application to Financial Markets

  title={Chaos and Nonlinear Dynamics : Application to Financial Markets},
  author={David A. Hsieh and Robert B. Miller},
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… CONTINUE READING
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