Paper Information

Journal:   MODERN RESEARCHES IN DECISION MAKING   SPRING 2016 , Volume 1 , Number 1; Page(s) 25 To 46.
 
Paper: 

THE SURVEY OF THE CHAOS EQUATIONS ON STOCK EXCHANGE SYSTEM (CASE STUDY: TEHRAN STOCK EXCHANGE SYSTEM)

 
 
Author(s):  HORRI MOHAMMAD SADEGH*, HASHEMI MARZIEH
 
* INDUSTRIAL MANAGEMENT DEPARTMENT, DEPARTMENT OF MANAGEMENT, ARAK BRANCH, ISLAMIC AZAD UNIVERSITY, ARAK, IRAN
 
Abstract: 

It is well known that many financial time series show choatic behaviors. The research examines the complex dynamical behaviors using chaos test and attractor points' analysis in Tehran Stock Exchange (TSE) during the period 1385-93.
Positiveity of Lyapunov Exponent is an operational definition of chaos. We select some sample stocks from Tehran Stock Exchange and utilize three major methods for estimating Lyapunov Exponents on their prices series.
Incoming results indicate that the prices series are chaotic and estimated fixed points show local equilibriums, which are interest of policy makers, analysis and investors in financial markets.

 
Keyword(s): CHAOTIC SYSTEM, STOCK MARKET, TURBULENCE DETECTION TESTS, TESTS NONLINEAR
 
References: 
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  Persian Abstract Yearly Visit 43
 
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