Structural shifts and the volatility of chaotic markets

@inproceedings{Shaffer1991StructuralSA,
  title={Structural shifts and the volatility of chaotic markets},
  author={S. Shaffer},
  year={1991}
}
Abstract This paper demonstrates that certain simple, widely accepted fundamental factors suffice to generate chaotic time paths of profits and hence of stock returns. The volatility of the resulting time paths is examined by simulation; certain regions are identified within which a tiny shaft in structural parameters can lead to a large increase in volatility. These properties are related back to the 1987 stock market crash via a model of Leland. An important conclusion of the paper is that… CONTINUE READING