The aim of this article is the study of complex structures which are behind the short-term predictability of stock returns series. In this regard, we employ a seasonal version of the Mackey-Glass-GARCH(p,q) model, initially proposed by Kyrtsou and Terraza (2003) and generalized by Kyrtsou (2005,...

The nonlinear testing and modeling of economic and financial time series has increased substantially in recent years, enabling us to better understand market and price behavior, risk and the formation of expectations. Such tests have also been applied to commodity market behavior, providing...

Recent empirical studies have shown that the chaotic behaviour and excess volatility of financial series are the result of interactions between heterogeneous investors. In our article, we propose verifying this hypothesis. Thus, we use the Chen, Lux, and Marchesi (2000) model to show that the...