๐”– Bobbio Scriptorium
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Martingales, nonlinearity, and chaos

โœ Scribed by William A. Barnett; Apostolos Serletis

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
163 KB
Volume
24
Category
Article
ISSN
0165-1889

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โœฆ Synopsis

In this article we provide a review of the literature with respect to the e$cient markets hypothesis and chaos. In doing so, we contrast the martingale behavior of asset prices to nonlinear chaotic dynamics, discuss some recent techniques used in distinguishing between probabilistic and deterministic behavior in asset prices, and report some evidence. Moreover, we look at the controversies that have arisen about the available tests and results, and raise the issue of whether dynamical systems theory is practical in "nance.

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