Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990
The purpose of the paper is to look for indications of chaotic dynamics in the monthly evolution of IBOVESPA in the period 1978/2000. This kind of dynamics, as it is known, implicates that the series will present high sensibility to variations in initial conditions, but not a random behavior. The t...
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| Format: | Article |
| Language: | Portuguese |
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Universidade de São Paulo
2002-06-01
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| Series: | Economia Aplicada |
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| Online Access: | https://www.revistas.usp.br/ecoa/article/view/219915 |
| _version_ | 1827591400550563840 |
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| author | Newton Paulo Bueno |
| author_facet | Newton Paulo Bueno |
| author_sort | Newton Paulo Bueno |
| collection | DOAJ |
| description |
The purpose of the paper is to look for indications of chaotic dynamics in the monthly evolution of IBOVESPA in the period 1978/2000. This kind of dynamics, as it is known, implicates that the series will present high sensibility to variations in initial conditions, but not a random behavior. The techniques employed were the recurrence plot followed by successive filtering of the residuals by ARCH's type autoregressive models, capable to model the conditional heterocedasticity; the final step was to test the residuals against BDS statistics. The conclusion obtained after filtering the series was the identification of evidences of chaotic dynamics in the evolution of IBOVESPA during the 1990's.
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| first_indexed | 2024-03-09T01:31:14Z |
| format | Article |
| id | doaj.art-64172bd1559e438ab823efca10a17710 |
| institution | Directory Open Access Journal |
| issn | 1413-8050 1980-5330 |
| language | Portuguese |
| last_indexed | 2024-03-09T01:31:14Z |
| publishDate | 2002-06-01 |
| publisher | Universidade de São Paulo |
| record_format | Article |
| series | Economia Aplicada |
| spelling | doaj.art-64172bd1559e438ab823efca10a177102023-12-09T16:15:00ZporUniversidade de São PauloEconomia Aplicada1413-80501980-53302002-06-0163Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990Newton Paulo Bueno0Universidade Federal de Viçosa The purpose of the paper is to look for indications of chaotic dynamics in the monthly evolution of IBOVESPA in the period 1978/2000. This kind of dynamics, as it is known, implicates that the series will present high sensibility to variations in initial conditions, but not a random behavior. The techniques employed were the recurrence plot followed by successive filtering of the residuals by ARCH's type autoregressive models, capable to model the conditional heterocedasticity; the final step was to test the residuals against BDS statistics. The conclusion obtained after filtering the series was the identification of evidences of chaotic dynamics in the evolution of IBOVESPA during the 1990's. https://www.revistas.usp.br/ecoa/article/view/219915non-linear dynamicsstock marketchaos theory |
| spellingShingle | Newton Paulo Bueno Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990 Economia Aplicada non-linear dynamics stock market chaos theory |
| title | Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990 |
| title_full | Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990 |
| title_fullStr | Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990 |
| title_full_unstemmed | Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990 |
| title_short | Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990 |
| title_sort | algumas evidencias da presenca de nao linearidades compativeis com caos deterministico no ibovespa na decada de 1990 |
| topic | non-linear dynamics stock market chaos theory |
| url | https://www.revistas.usp.br/ecoa/article/view/219915 |
| work_keys_str_mv | AT newtonpaulobueno algumasevidenciasdapresencadenaolinearidadescompativeiscomcaosdeterministiconoibovespanadecadade1990 |