Algumas evidências da presença de não-linearidades compatíveis com caos determinístico no IBOVESPA na década de 1990
Autor(a) principal: | |
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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. |
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Economia Aplicada |
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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 |