The search for evidence of chaos in FTSE-100 daily returns

This study provides an elementary discussion of deterministic chaos as it applies to security returns. the study demonstrates a simple technique, well known in the physical sciences, for discriminating between random and chaotic time-series. Applying the technique to a time-series of daily returns on the FTSE-100, an index comprised of the stocks of the 100 largest British firms, results in evidence that the time-series is random, not chaotic. Copyright Blackwell Publishers Ltd. 1995.