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 deterministi
โฆ LIBER โฆ
Nonlinearity and chaos at work
โ Scribed by Abarbanel, Henry D. I.
- Book ID
- 109784995
- Publisher
- Nature Publishing Group
- Year
- 1993
- Tongue
- English
- Weight
- 309 KB
- Volume
- 364
- Category
- Article
- ISSN
- 0028-0836
- DOI
- 10.1038/364672a0
No coin nor oath required. For personal study only.
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This article presents a discussion of certain aspects of the interrelationship between the chaotic response of some deterministic nonlinear dynamic system and the stochastic response of the corresponding system obtained by introducing a stochastic perturbation in the form of additive Gaussian white