On the stock market recurrence

M S  Baptista; I L  Caldas

doi:10.1016/S0378-4371(00)00226-0

On the stock market recurrence

M S Baptista, I L Caldas

Physics

Research output: Contribution to journal › Article › peer-review

14 Citations (Scopus)

Abstract

We analyze the return of the S & P 500 index and characterize its evolution as being typical of a low-dimensional recurrent deterministic system. The first Poincare return time of the chaotic logistic mapping trajectories is used to model the return evolution. The efficiency of the model is demonstrated by daily predictions over an interval of time since January, 1950 of this index, and long-term prediction for a period of 150 days. (C) 2000 Elsevier Science B.V. All rights reserved.

Original language	English
Pages (from-to)	348-354
Number of pages	7
Journal	Physica. A, Statistical Mechanics and its Applications
Volume	284
Issue number	1-4
Early online date	3 Aug 2000
DOIs	https://doi.org/10.1016/S0378-4371(00)00226-0
Publication status	Published - 1 Sept 2000

Keywords

chaos
econophysics
stock market
dynamics
modeling
variance

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10.1016/S0378-4371(00)00226-0

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AB - We analyze the return of the S & P 500 index and characterize its evolution as being typical of a low-dimensional recurrent deterministic system. The first Poincare return time of the chaotic logistic mapping trajectories is used to model the return evolution. The efficiency of the model is demonstrated by daily predictions over an interval of time since January, 1950 of this index, and long-term prediction for a period of 150 days. (C) 2000 Elsevier Science B.V. All rights reserved.

KW - chaos

KW - econophysics

KW - stock market

KW - dynamics

KW - modeling

KW - variance

U2 - 10.1016/S0378-4371(00)00226-0

DO - 10.1016/S0378-4371(00)00226-0

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JF - Physica. A, Statistical Mechanics and its Applications

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ER -

On the stock market recurrence

Abstract

Keywords

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