Review

Using Lyapunov's method for analysing of chaotic behaviour on financial time series data: a case study on Tehran stock exchange

  • Received: 31 August 2020 Accepted: 22 September 2020 Published: 23 September 2020
  • JEL Codes: C01, C22, C58

  • In the last decade there is a constantly growing interest in application of mathematics methods and econophysics methods to solve various problems concerning finance,economics,etc. Chaos and its application are importance for most of the current financial and economic phenomena. Financial markets can potentially provide financial long-term series which can be used in analysing and forecasting. Most recent studies,shows the existence of long and short-range correlations in the financial market and economic phenomena. For testing the existence of chaotic behaviour,Lyapunov's method is one of the best methods. In the current study time-series tests of Lyapunov's method were applied,among listed companies on Tehran stock exchange over a period from 2005 to 2015. The obtained findings prove the existence multifractality process in the evolution of time series stock price.

    Citation: Mohammad Reza Abbaszadeh, Mehdi Jabbari Nooghabi, Mohammad Mahdi Rounaghi. Using Lyapunov's method for analysing of chaotic behaviour on financial time series data: a case study on Tehran stock exchange[J]. National Accounting Review, 2020, 2(3): 297-308. doi: 10.3934/NAR.2020017

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  • In the last decade there is a constantly growing interest in application of mathematics methods and econophysics methods to solve various problems concerning finance,economics,etc. Chaos and its application are importance for most of the current financial and economic phenomena. Financial markets can potentially provide financial long-term series which can be used in analysing and forecasting. Most recent studies,shows the existence of long and short-range correlations in the financial market and economic phenomena. For testing the existence of chaotic behaviour,Lyapunov's method is one of the best methods. In the current study time-series tests of Lyapunov's method were applied,among listed companies on Tehran stock exchange over a period from 2005 to 2015. The obtained findings prove the existence multifractality process in the evolution of time series stock price.
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    © 2020 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0)
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