Martingales, nonlinearity, and chaos
β
William A. Barnett; Apostolos Serletis
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Article
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2000
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Elsevier Science
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English
β 163 KB
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