Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990

Detalhes bibliográficos
Autor(a) principal: Bueno, Newton Paulo
Data de Publicação: 2002
Tipo de documento: Artigo
Idioma: por
Título da fonte: Economia Aplicada
Texto Completo: https://www.revistas.usp.br/ecoa/article/view/219915
Resumo: 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.
id USP-21_e762c32bb1d95a6a7fef4619a0c75490
oai_identifier_str oai:revistas.usp.br:article/219915
network_acronym_str USP-21
network_name_str Economia Aplicada
repository_id_str
spelling Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990non-linear dynamicsstock marketchaos theoryThe 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.Universidade de São Paulo, FEA-RP/USP2002-06-05info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/21991510.11606/1413-8050/ea219915Economia Aplicada; Vol. 6 Núm. 3 (2002); 555-575Economia Aplicada; Vol. 6 No. 3 (2002); 555-575Economia Aplicada; v. 6 n. 3 (2002); 555-5751980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPporhttps://www.revistas.usp.br/ecoa/article/view/219915/200785Copyright (c) 2002 Economia Aplicadahttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessBueno, Newton Paulo 2023-12-08T19:23:13Zoai:revistas.usp.br:article/219915Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-12-08T19:23:13Economia Aplicada - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990
title Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990
spellingShingle Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990
Bueno, Newton Paulo
non-linear dynamics
stock market
chaos theory
title_short 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_sort Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990
author Bueno, Newton Paulo
author_facet Bueno, Newton Paulo
author_role author
dc.contributor.author.fl_str_mv Bueno, Newton Paulo
dc.subject.por.fl_str_mv non-linear dynamics
stock market
chaos theory
topic non-linear dynamics
stock market
chaos theory
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.
publishDate 2002
dc.date.none.fl_str_mv 2002-06-05
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://www.revistas.usp.br/ecoa/article/view/219915
10.11606/1413-8050/ea219915
url https://www.revistas.usp.br/ecoa/article/view/219915
identifier_str_mv 10.11606/1413-8050/ea219915
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://www.revistas.usp.br/ecoa/article/view/219915/200785
dc.rights.driver.fl_str_mv Copyright (c) 2002 Economia Aplicada
http://creativecommons.org/licenses/by-nc/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2002 Economia Aplicada
http://creativecommons.org/licenses/by-nc/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
dc.source.none.fl_str_mv Economia Aplicada; Vol. 6 Núm. 3 (2002); 555-575
Economia Aplicada; Vol. 6 No. 3 (2002); 555-575
Economia Aplicada; v. 6 n. 3 (2002); 555-575
1980-5330
1413-8050
reponame:Economia Aplicada
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Economia Aplicada
collection Economia Aplicada
repository.name.fl_str_mv Economia Aplicada - Universidade de São Paulo (USP)
repository.mail.fl_str_mv ||revecap@usp.br
_version_ 1800221693583556608

Registros relacionados