Martingales, Nonlinearity, and Chaos

William Barnett and Apostolos Serletis

Econometrics from University Library of Munich, Germany

Abstract: In this paper we provide a review of the literature with respect to the efficient 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 finance.

Keywords: nonlinearity; chaos; martingales; efficient; markets (search for similar items in EconPapers)
JEL-codes: C14 C22 E37 (search for similar items in EconPapers)
Pages: 26 pages
Date: 1998-06-03
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: Type of Document - Tex; prepared on IBM PC; pages: 26 ; figures: none. This paper has been invited for publication in a special issue of the Journal of Economic Dynamics and Control. The editors of the special issue are Cars Hommes and Dee Dechert. See
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Related works:
Working Paper: MARTINGALES, NONLINEARITY, AND CHAOS (2012)
Journal Article: Martingales, nonlinearity, and chaos (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:9805003

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