Economics, Econometrics and Finance
4 years ago

Financial markets show no chaos, but nonlinear and stochastic behavior prevails.

Entropy
A Comprehensive Framework for Uncovering Non-Linearity and Chaos in Financial Markets: Empirical Evidence for Four Major Stock Market Indices
Lucía Inglada‐Pérez

Paper Summary

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The article tests for chaos in financial markets by analyzing four major stock market indices. Using data from 1992 to 2013, the study employs twelve techniques, including five specific to chaos detection. The results indicate that financial markets exhibit nonlinear and stochastic behavior, with no clear evidence of chaos.