APPLICATIONS OF CHAOS THEORY IN TURBULENT FINANCIAL MARKETS
The recent turbulences in global financial markets demonstrated that the market mechanisms are not sufficient understudied and there are necessary new approaches with a better capability to treat the effects and the impacts of such a high volatility. The aim of this paper is to present the possibilities to use R/S statistics, instruments to deal with persistence/, anti-persistence and fractional noises. A comparative analysis between Hurst processes, random walk/ Brownian motion processes permits the understanding the treatment of ?memory effects? measuring new financial markets qualities, persistence and anti- persistence.
Year of publication: |
2012
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Authors: | Gabriela, PRELIPCEAN ; Gheorghe, OPRESCU ; Mircea, BOSCOIANU |
Published in: |
Revista Economica. - Facultatea de Ştiinţe Economice. - Vol. Supplement.2012, 1, p. 671-679
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Publisher: |
Facultatea de Ştiinţe Economice |
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