Template-Type: ReDIF-Article 1.0
Author-Name: Leonid N. Kavalenya
Author-Email: leonardokavaleni@ya.ru
Author-Workplace-Name: The State University of the Ministry of Finance of the Russian Federation
Title: Price Variance: Random Walk or Chaotic Process?
Abstract: The article reviews the hypothesis of chaotic nature of the financial assets price dynamics. The said hypothesis was tested using the basic A. Lempel and J. Ziv algorithm of determination of the stochastic behavior of the process, calculation of the correlation dimensionality of the dynamic series, etc. Calculations were based on the data on the major Russian companies’ stock yield during the 2008 crisis.
Classification-JEL:
Keywords: chaos theory, efficient market hypothesis, price dynamics forecasts, random price movements
Journal: Finansovyj žhurnal — Financial Journal
Pages: 41-48
Issue: 4
Year: 2011
Month: October
File-URL: http://www.nifi.ru/images/FILES/Journal/Archive/2011/4/statii/2011_04_05.pdf
File-Format: Application/pdf
Handle: RePEc:fru:finjrn:110405:p:41-48