Small, Michael; Tse, Chi K. - In: Studies in Nonlinear Dynamics & Econometrics 7 (2003) 3
The attractive possibility that financial indices may be chaotic has been the subject of much study. In this paper we address two specific questions: "Masked by stochasticity, do financial data exhibit deterministic nonlinearity?", and "If so, so what?". We examine daily returns from three...