Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. It is found that in a stable regime the noise power spectrum of the system is 1/f-like: ∝ ω- 3/2 (where ω is the frequency), that the...

An important assumption underlying traditional theories of financial time-series behaviour is that consecutive changes in the price of an asset (ie. asset returns) are independent of each other. For analysts seeking to predict the future value of an asset, this implies that the best step-ahead...

Using numerical simulation, recent research on the properties of unit root tests in the presence of generalised autoregressive conditional heteroskedasticity (GARCH) is extended. The principal development concerns consideration of relative properties of linear and non-linear unit root tests in...