Etude de la dynamique non-linéaire des rentabilités de la bourse de Casablanca

The preponderance of the linear approach in the stock market modeling is the result of the Frisch-Slutsky paradigm which implies that the market can only converge to an equilibrium point or diverge, according to a monotonic or oscillatory trajectory. Moreover, this description of reality is insufficient, first by his inability to describe the fluctuations that tend to persist and market anomalies, second by the weakness of the linear statistical tests facing more complex processes. In this paper, we examine the existence of a non-linear dynamics that govern the evolution of the MASI Index. The analysis uses the concepts of Lyapunov exponents, correlation dimension and other tools to determine the nature of the underlying process. The results provide evidence of a non-linear process, but the determinism remains contested.