On the stock market recurrence

被引：14

作者：

Baptista, MS ^{[1
]}

Caldas, IL ^{[1
]}

机构：

[1] Univ Sao Paulo, Inst Phys, BR-05315970 Sao Paulo, SP, Brazil

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2000年 / 284卷 / 1-4期

基金：

巴西圣保罗研究基金会;

关键词：

chaos; econophysics; stock market; dynamics; modeling;

D O I：

10.1016/S0378-4371(00)00226-0

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We analyze the return of the S & P 500 index and characterize its evolution as being typical of a low-dimensional recurrent deterministic system. The first Poincare return time of the chaotic logistic mapping trajectories is used to model the return evolution. The efficiency of the model is demonstrated by daily predictions over an interval of time since January, 1950 of this index, and long-term prediction for a period of 150 days. (C) 2000 Elsevier Science B.V. All rights reserved.

引用

页码：348 / 354

页数：7

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