Chaos & Nonlinear Dynamics in the Financial Markets

Chaos & Nonlinear Dynamics in the Financial Markets explores both theory and empirical results related to nonlinear determinism in the dynamics of asset prices. It includes a wealth of material on the properties of chaotic processes relevant to markets, along with statistical and other tests which have been developed specifically to detect the presence of chaotic behavior.This authoritative guide covers a comprehensive range of issues associated with chaos theory. It includes sections on theoretical foundations; evidence of chaos in the stock market, commodities markets, and money markets; and a section on advanced methodological issues. You'll also find included Chaos Explorer, a complimentary software package that graphically illustrates the chaotic processes that are referenced throughout the book.