This article validates the chaotic behavior in the Argentinean, Brazilian, Canadian, Chilean, American, Peruvian and Mexican Stock Markets using the MERVAL, BOVESPA, S&P TSX COMPOSITE, IPSA, IGPA, S&P 500, DOW JONES INDUSTRIALS, NASDAQ, IGBVL and IPC Stock Indexes respectively. The results of...

Este artículo aplica seis técnicas y herramientas (análisis gráfico, gráfico de recurrencia,entropía de espacio temporal, coeficiente de Hurst, exponente de Lyapunov y dimensiónde correlación), a las series de retornos del cobre, oro, petróleo, plata, zinc, aluminio,plomo y níquel, con...

This paper uses the Hinich test to detect non-linearity windows on the series of daily closing prices of the commodities Copper, Gold, Palladium, Brent Oil, Silver, Platinum and Oil WTI. In addition, we use Wavelet theory to study either the scale or the scales that occur or accumulate the...

This paper tests for random walks and weak-form market efficiency in European equity markets. Daily returns for sixteen developed markets (Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the United...

This exploratory paper is among the first to examine the impact of stock exchange mergers on informational market efficiency. We focus on the merger of Bolsa de Valores de Lisboa e Porto (Portuguese Stock Exchange) with Euronext in 2002 (that created Euronext Lisbon). To investigate this...

This note examines the weak-form market efficiency of Latin American equity markets. Daily returns for Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela are examined for random walks using serial correlation coefficient and runs tests, Augmented Dickey-Fuller (ADF), Phillips-Perron...

This study examines return predictability of major foreign exchange rates by testing for martingale difference hypothesis (MDH) using daily and weekly nominal exchange rates from 1975 to 2009. We use three alternative tests for the MDH, which include the wild bootstrap automatic variance ratio...

Complexity is one of the most important characteristic properties of the economic behaviour. The new field of knowledge called Chaotic Dynamic Economics born precisely with the objective of understanding, structuring and explaining in an endogenous way such complexity. In this paper, and after...

The classical theory about foreign exchange rate explains its fluctuations as the resulting of a random walk motion. In this paper, such a theory is put into question by performing Brock, Dechert and Scheinkman's (1987) test on the Austrian Schilling - US Dollars exchange rate for the period...

This thesis consists of four papers. The first three deal with deterministic chaos in exchange rate series whereas the fourth deals with technical analysis in the foreign exchange market. Paper [i] (