Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2013): Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets.
Preview |
PDF
MPRA_paper_49921.pdf Download (818kB) | Preview |
Abstract
This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process of the electronic trading can originate the nonlinear changes of the stock market indexes at the stock exchanges in the global capital markets. We suggest that the econophysics techniques can be used to precisely characterize the nonlinearities in the finances. We performed the research of the nonlinearities in Matlab, researching: 1) the ideal dependence of the stock market index over the time, 2) the linear dependence of the stock market index over the time, 3) the quadratic dependence of the stock market index over the time, 2) the exponential dependence of the stock market index over the time. We researched the following indexes: 1) The Dow Jones Industrial Average (DJIA) index; 2) The Standard and Poor’s 500 (S&P 500) index; 3) The NYSE Composite index; 4) The Hong Kong Hang Seng index; 5) The Shanghai Composite index; 6) The Financial Times Securities Exchange (FTSE100) index; 7) The Deutscher Aktienindex (DAX) index; 8) The Nikkei 225 Stock Average index over the certain time periods. The selected time periods were: 6 months; 12 months; 24 months. We assumed that, in every considered case, there are the complex changes of the company valuation, foreign exchange rates, interest rates, prices of strategic commodities over the specified time period. We found that there are the nonlinearities in the characteristic dependences of the stock exchanges indexes on the time. Our research results are in a good agreement with the research findings in Abhyankar, Copeland, Wong (1995, 1997), however the multiple evidences of quantum chaos were found in the researched stock market indexes dependences for the first time.
Item Type: | MPRA Paper |
---|---|
Original Title: | Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets |
English Title: | Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets |
Language: | English |
Keywords: | stock exchange, stock indexes trends analysis, nonlinear capital flows at stock exchanges, financial securities market, global capital market, share price volatility, foreign exchange rates, interest rates, prices of strategic commodities, return on investments, equity premium, investment portfolio, econophysics, econometrics, integrative thinking. |
Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C43 - Index Numbers and Aggregation C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C46 - Specific Distributions ; Specific Statistics C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C87 - Econometric Software G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation |
Item ID: | 49921 |
Depositing User: | Prof. Viktor O. Ledenyov |
Date Deposited: | 18 Sep 2013 23:55 |
Last Modified: | 27 Sep 2019 19:13 |
References: | 1. Joseph Penso de la Vega 1668, 1996 Confusión de Confusiones re-published by John Wiley and Sons Inc USA. 2. Mortimer Th 1765 Every Man His Own Broker 4th edition London UK. 3. Courtois A 1855 Des opérations de bourse Paris France. 4. Menger C 1871 Principles of economics (Grundsätze der Volkswirtschaftslehre) Ludwig von Mises Institute Auburn Alabama USA http://www.mises.org/etexts/menger/Mengerprinciples.pdf . 5. Maddison E 1875 The Paris Bourse and the London Stock Exchange. A comparison of the course of business on each exchange London UK. 6. von Böhm-Bawerk E 1884, 1889, 1921 Capital and interest: History and critique of interest theories, positive theory of capital, further essays on capital and interest Austria; 1890 Macmillan and Co edition Smart W A translator London UK http://files.libertyfund.org/files/284/0188_Bk.pdf . 7. Hirsch M 1896, 1985 Economic Principles A Manual of Political Economy The Russkin Press Pty Ltd 123 Latrobe Street Melbourne Australia. 8. Bachelier L 1900 Theorie de la speculation Annales de l’Ecole Normale Superieure vol 17 pp 21-86. 9. Lowenfeld H 1907 The investment of trust funds in the safest and most productive manner Effingham Wilson London UK. 10. Lowenfeld H 1910 All About Investment 2nd Edition The Financial Review of Reviews London UK. 11. von Mises L 1912 The theory of money and credit Ludwig von Mises Institute Auburn Alabama USA http://mises.org/books/Theory_Money_Credit/Contents.aspx . 12. Fisher I 1922 The making of index numbers. A study of their varieties, tests, and reliability New York USA. 13. Morgan E V, Thomas W A 1961 The stock exchange, its history and functions Elek Books Ltd London UK. 14. Bernanke B S 1979 Long-term commitments, dynamic optimization, and the business cycle Ph D Thesis Department of Economics Massachusetts Institute of Technology USA. 15. Michie R 1988 Different in name only? The London Stock Exchange and foreign bourses c. 1850 - 1914 Business History 30 pp 46-68. 16. Michie R 1999, 2001 The London Stock Exchange: A history Oxford University Press UK 978-0-19-924255-9 pp 688. 17. Arbulu P 1998a Le marché parisien des actions françaises au XIXe siècle : performance et efficience d’un marché émergent Thèse de doctorat Université d’Orléans France. 18. Arbulu P 1998b La Bourse de Paris au xixème siecle: l’exemple d’un marche emergent devenu efficient Revue d'Économie Financière pp 213 - 249. 19. Neal L 2005 The London Stock Exchange in the 19th century: Ownership structures, growth and performance Working Paper 115 Oesterreichische Nationalbank Wien Austria pp 1 - 38. 20. Petit M 2006 Inventaire des séries de données historiques du projet Old Paris stock exchange 1919-1939 Economies et Sociétés 40 no 8 pp 1089-1119. 21. P C Hautcoeur 2006 Why and how to measure stock market fluctuations? The early history of stock market indices, with special reference to the French case Working paper no 10 Paris School of Economics Paris France. 22. Hautcoeur P-C, Riva A 2007 The Paris financial market in the 19th century: An efficient multi-polar organization ? Working Paper no.31 Paris School of Economics Paris France. 23. Le Bris D, Hautcoeur P-C 2011 A Challenge to Triumphant Optimists? halshs-00586765 version 1 Paris School of Economics – EHESS Paris France www.pse.ens.fr. 24. Gallais-Hamonno, Georges (ed.) 2007 Le marché financier français au 19e siècle, Aspects antitatifs des acteurs et des instruments à la Bourse de Paris Paris France. 25. Hamao Y, Hoshi T, Okazaki T 2005 The genesis and development of the capital market in pre-war Japan CARF-F-023 Tokyo Japan http://www.carf.e.u-tokyo.ac.jp/workingpaper/index.cgi . 26. Hart O, Moore J 1996 The governance of exchanges: Members’ cooperatives versus outside ownership Oxford Review of Economic Policy 12 pp 53-69. 27. Goetzmann W, Ibbotson R, Peng C 2000 A New historical database for the NYSE 1815 to 1925: Performance and predictability The Journal of Financial Markets 4 no 1 pp. 1-32. 28. Davis L E, Neal L 1998 Micro rules and macro outcomes: The impact of the structure of organizational rules on the efficiency of security exchanges, London, New York, and Paris, 1800-1914 American Economic Review 88 (2) pp 40-45. 29. Davis L E, Neal L, White E N 2003 How it all began: The rise of listing requirements on the London, Berlin, Paris, and New York stock exchanges The International Journal of Accounting 38 (2) pp 117-143. 30. Pirrong C 1999 The organization of financial exchange markets: Theory and evidence Journal of Financial Markets 2 (4) pp 329-357. 31. Pirrong C 2000 A theory of financial exchange organization Journal of Law & Economics 43 pp 437-471. 32. Di Noia C 2001 Competition and integration among stock exchanges in Europe: Network effects, implicit mergers and remote access European Financial Management 7 (1) pp 39- 72. 33. Gregory A, Harris D F, Michou M 2001 An analysis of contrarian investment strategies in the UK Journal of Business Finance and Accounting 28 (9-10) pp 1192 - 1228. 34. Ledenyov V O, Ledenyov D O 2012a Shaping the international financial system in century of globalization Cornell University NY USA www.arxiv.org 1206.2022.pdf pp 1-20. 35. Ledenyov V O, Ledenyov D O 2012b Designing the new architecture of international financial system in era of great changes by globalization Cornell University NY USA www.arxiv.org 1206.2778.pdf pp 1-18. 36. Ledenyov D O, Ledenyov V O 2012c On the new central bank strategy toward monetary and financial instabilities management in finances: econophysical analysis of nonlinear dynamical financial systems Cornell University NY USA www.arxiv.org 1211.1897.pdf pp 1-8. 37. Ledenyov D O, Ledenyov V O 2012d On the risk management with application of econophysics analysis in central banks and financial institutions Cornell University NY USA www.arxiv.org 1211.4108.pdf pp 1-10. 38. Ledenyov D O, Ledenyov V O 2012e Nonlinearities in microwave superconductivity Cornell University NY USA www.arxiv.org 1206.4426.pdf pp 1-919. 39. Ledenyov D O, Ledenyov V O 2013a On the optimal allocation of assets in investment portfolio with application of modern portfolio management and nonlinear dynamic chaos theories in investment, commercial and central banks Cornell University NY USA www.arxiv.org 1301.4881.pdf pp 1-34. 40. Ledenyov D O, Ledenyov V O 2013b On the theory of firm in nonlinear dynamic financial and economic systems Cornell University NY USA www.arxiv.org 1206.4426v2.pdf pp 1-27. 41. Ledenyov D O, Ledenyov V O 2013c On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems Cornell University NY USA www.arxiv.org 1304.4807.pdf pp 1-26. 42. Ledenyov D O, Ledenyov V O 2013d To the problem of turbulence in quantitative easing transmission channels and transactions network channels at quantitative easing policy implementation by central banks Cornell University NY USA www.arxiv.org 1305.5656.pdf pp 1-40. 43. Ledenyov D O, Ledenyov V O 2013e To the problem of evaluation of market risk of global equity index portfolio in global capital markets MPRA Paper no 47708 Munich University Munich Germany pp 1 - 25 http://mpra.ub.uni-muenchen.de/47708/ . 44. Ledenyov D O, Ledenyov V O 2013f Nonlinearities in finances Software in MatlabR2012 The MathWorks USA. 45. Munro J H 2003 The medieval origins of the 'Financial Revolution': usury, rentes, and negotiability The International History Review XXV 3 ISSN 0707-5332 pp 505 – 756 Munich University Munich Germany http://mpra.ub.uni-muenchen.de/10925/ . 46. Landes D 1998, 1999 The wealth and poverty of nations W W Norton & Company Inc USA; Little Brown & Company UK; Abacus UK ISBN 0 349 11166 9 pp 1 - 650. 47. Shiryaev A N 1998a Foundations of Stochastic Financial Mathematics vol 1 Fazis Scientific and Publishing House Moscow Russian Federation ISBN 5-7036-0044-8 pp 1-492. 48. Shiryaev A N 1998b Foundations of Stochastic Financial Mathematics vol 2 Fazis Scientific and Publishing House Moscow Russian Federation ISBN 5-7036-0044-8 pp 493-1017. 49. Viveen A 2013 Private communications on the Dutch financial, economic and political systems Kharkov Palace Hotel Kharkov Ukraine. 50. Schnoor I 2006 Comparable Analysis and Data Manipulation Tools The Marquee Group Toronto Canada pp 1-66. 51. Schnoor I 2005-2006 Private communications on business valuation methodologies Rotman School of Management University of Toronto Canada. 52. Łuniewska M A 2007 A statistical analysis of dividend in chosen companies listed on the Warsaw Stock Exchange Folia Oeconomica Stetinensia DOI: 10.2478/v10031-007-0013-4 pp 76-85. 53. Bartram S M, Bodnar G M 2009 Crossing the lines: The conditional relation between exchange rate exposure and stock returns in emerging and developed markets MPRA Paper No. 14018 Munich University Munich Germany pp 1-43 http://mpra.ub.uni-muenchen.de/14018/ . 54. Granger C W J 1969 Investigating causal relations by econometrics models and cross spectral methods Econometrica 37 pp 424-438. 55. Granger C W J, Huang B, Yang C W, 2000 Bi-variate causality between stock prices and exchange rates: Evidence from recent Asian flu The Quarterly Review of Economics and Finance 40 pp 337-354. 56. Aggarwal R 1981 Exchange rates and stock prices: A study of U.S. capital market under floating exchange rates Akron Business and Economic Review 12 pp 7-12. 57. Soenen L A, Hennigar E S 1988 An analysis of exchange rates and stock prices - the U.S. experience between 1980 and 1986 Akron Business and Economic Review 19 pp 7-16. 58. Giovannini A, Jorion P 1989 The time-variation of risk and return in the foreign exchange and stock markets Journal of Finance 44 pp 307-325. 59. Jorion P 1991 The Pricing of exchange rate risk in the stock market Journal of Financial and Quantitative Analysis 26 (3) pp 363-376. 60. Loudon G F 1993 The foreign exchange operating exposure of Australian stocks Accounting and Finance 33 (1) pp 19-32. 61. Bailey W, Chung Y P 1995 Exchange rate fluctuations, political risk, and stock returns: Some evidence from an emerging market Journal of Financial and Quantitative Analysis 30 (4) pp 541 - 560. 62. Prasad A M, Rajan M 1995 The role of exchange and interest risk in equity valuation: A comparative study of international stock markets Journal of Economics and Business 47 (5) pp 457-472. 63. Ajayi R A, Mougoue M 1996 On the dynamic relation between stock prices and exchange rates Journal of Financial Research 19 pp 193-207. 64. Ajayi R A, Friedman J, Mehdian S M 1998 On the relationship between stock returns and exchange rates: Tests of Granger causality Global Finance Journal 9 pp 241-251. 65. Issam S, Abdalla A, Murinde V 1997 Exchange rate and stock price interactions in emerging financial markets: Evidence on India, Korea, Pakistan and the Philippines Applied Financial Economics 7 pp 25- 35. 66. Abdalla I, Murinde V 1997 Exchange rate and stock price interaction in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines Applied Financial Economics 7 pp 25–35. 67. Yu Q 1997 Stock prices and exchange rates: Experience in leading East Asian financial countries: Tokyo, Hong Kong and Singapore Singapore Economic Review 41 pp 47-56. 68. Chow E H, Lee W Y, Solt M E 1997 The exchange rate risk exposure of asset returns Journal of Business 70 (1) pp 107-123. 69. Choi J J, Hiraki T, Takezawa N 1998 Is foreign exchange rate risk priced in the Japanese stock market? Journal of Financial and Quantitative Analysis 33 (3) pp 361-382. 70. Stavarek D 2004 Stock prices and exchange rates in the EU and the USA: Evidence of their mutual interactions MPRA Paper No 7297 pp 1 – 23 http://mpra.ub.uni-muenchen.de/7297/ . 71. Kolari J W, Moorman T C, Sorescu S M 2005 Foreign exchange risk and the cross-section of stock returns Texas A&M Working Paper USA. 72. Tabak B M 2006 The dynamic relationship between stock prices and exchange rates: Evidence for Brasil The Banco Central do Brasil Working Paper Series no 124 ISSN 1518-3548 pp 1 - 37. 73. Hartmann D, Pierdzioch Ch 2006 Nonlinear links between stock returns and exchange rate movements MPRA Paper No. 2918 Munich University Munich Germany pp 1 – 15 http://mpra.ub.uni-muenchen.de/2918/ . 74. Hyde S J 2007 The response of industry stock returns to market, exchange rate and interest rate risks Manchester Business School Working Paper No 2007-491 MPRA Paper No. 9679 Munich University Munich Germany http://mpra.ub.uni-muenchen.de/9679/ . 75. Alagidede P, Panagiotidis T, Xu Zhang 2010 Causal relationship between stock prices and exchange rates Stirling Economics Discussion Paper 2010-05 Stirling Management School Stirling University UK http://www.economics.stir.ac.uk . 76. Thai-Ha Le, Youngho Chang 2011a The impact of oil price fluctuations on stock markets in developed and emerging economies MPRA Paper No. 31936 Munich University Germany http://mpra.ub.uni-muenchen.de/31936/ . 77. Thai-Ha Le, Youngho Chang 2011b Dynamic relationships between the price of oil, gold and financial variables in Japan: a bounds testing approach MPRA Paper No. 33030 Munich University Germany pp 1-30 http://mpra.ub.uni-muenchen.de/33030/ . 78. Hamilton J D 1983 Oil and the macroeconomy since World War II Journal of Political Economy 91 pp 228-248. 79. Gisser M, Goodwin T H 1986 Crude oil and the macroeconomy: Tests of some popular notions Journal of Money, Credit, and Banking 18 pp 95-103. 80. Fortune N J 1987 The inflation rate of the price of gold, expected prices and interest rates Journal of Macroeconomics 9 (1) pp 71-82. 81. Mork K A 1989 Oil and the macroeconomy When prices go up and down: An Extension of Hamilton’s results Journal of Political Economy 91 pp 740-744. 82. Sjaastad L A, Scacciallani F 1996 The price of gold and the exchange rate Journal of Money and Finance 15 pp 879-897. 83. Chan H W H, Faff R 1998 The sensitivity of Australian industry equity returns to a gold price factor Accounting and Finance 38 pp 223-244. 84. Cai J, Cheung Y-L, Wong M C S 2001 What moves the gold market? Journal of Futures Markets 21 pp 257-278. 85. Guo H, Kliesen K 2005 Oil price volatility and U.S. macroeconomic activity Federal Reserve Bank of St. Louis Review 87 (6) pp 669-683. 86. Capie F, Mills T C, Wood G 2005 Gold as a hedge against the dollar Journal of International Financial Markets, Institutions and Money 15 pp 343-352. 87. Basher S A, Sadorsky P 2006 Oil price risk and emerging stock markets Global Finance Journal 17 pp 224–251. 88. Sjaastad L A 2008 The price of gold and the exchange rates: once again Resources Policy 33 pp 118-124. 89. Park J, Ratti R 2008 Oil prices shocks and stock markets in the U.S. and 13 European countries Energy Economics 30 (5) pp 2587-2608. 90. Breitenfellner A, Crespo J 2008 Crude oil prices and the USD/EUR exchange rate Monetary Policy and The Economy 4 pp 102-121. 91. Kilian L, Park C 2009 The impact of Oil Price shocks on the US stock market International Economic Review 50 (4) pp 1267-1287. 92. Wang M L Wang C P, Huang T Y 2010 Relationships among oil price, gold price, exchange rate and international stock markets International Research Journal of Finance and Economics 47 pp 82-91. 93. Lizardo R, Mollick A 2010 Oil price fluctuations and US dollar exchange rates Energy Economics 32 pp 399-408. 94. Situngkir, Surya (2004) write: "Volatility is a measure of uncertainty of the financial time series data or possible risk that is commonly faced by investors in stock trading." 95. Busch Th, Christensen B J Nielsen M Ø 2009 The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets CREATES Research Paper 2007-9 Danske Bank Copenhagen Denmark; Center for Research in Econometric Analysis of Time Series Aarhus Denmark; School of Economics and Management University of Aarhus Denmark; Queen’s University Kingston Ontario Canada pp 1 - 20. 96. Schwert G W 1989 Why does stock market volatility change over time? Journal of Finance 44 pp 1115-53. 97. Égert B, Koubaa Y 2004 Modelling stock returns in the G-7 and in selected CEE economies: a non-linear GARCH approach William Davidson Institute Working Paper no 663. 98. Kavkler A, Festić M 2011 Modeling stock exchange index returns in different GDP growth regimes Prague Economic Papers 1 pp 3-22. 99. Elton E J, Gruber M J 1995 Modern portfolio theory and investment analysis J Wiley and Sons New York USA. 100. Statman M 1987 How many stocks make a diversified portfolio Journal of Financial and Quantitative Analysis vol 22 no 3 pp 353-63. 101. Utsugi A, Ino K, Oshikawa M 2003 Random matrix theory analysis of cross correlations in financial markets Cornell University NY USA http://arxiv.org/abs/cond-mat/0312643v1 . 102. Johansen S 1988 Statistical analysis of co-integrated vectors Journal of Economic Dynamics and Control 12 pp 231-254. 103. Dickey D A, Fuller W A 1981 Likelihood ratio statistics for autoregressive time series with a unit root Econometrica 49 pp 1057 - 1072. 104. Johansen S, Juselius K 1990 Maximum likelihood estimation and inference on co-integration with application to the demand for money Oxford Bulletin of Economics and Statistics 52 pp 169-210. 105. Gencay R, Selcuk F, Whitcher B 2008 Information flow between volatilities across time scales MPRA Paper No. 10355 pp 1 – 37 Munich University Munich Germany http://mpra.ub.uni-muenchen.de/10355/ . 106. Hinich M J 1982 Testing for Gaussianity and linearity of a stationary time series Journal of Time Series Analysis 3 pp 169-176. 107. Phillips P C B 1987 Time series regression with a unit root Econometrica 55 pp 277-301. 108. Phillips P C B, Perron P 1988 Testing for a unit root in time series regression Biometrica 75 pp 228-252. 109. 110. Grassberger P, Procaccia I 1983 Characterization of strange attractors Physical Review Letters 50 (5) pp 346-349. 111. Wolf A, Swift J B, Swinney H L, Vastano J A 1985 Determining Lyapunov exponents from a time series Physica D 16 pp 285-317. 112. Tsay R S 1986 Nonlinearity tests for Time Series Biometrica 73 pp 461-466. 113. Kelsey D 1988 The economics of chaos or the chaos of economics Oxford Economic Papers 40 pp 1-31. 114. Baumol W, Benhabib J 1989 Chaos: Significance, mechanism, and economic applications Journal of Economic Perspectives 3 (1) pp 77 - 105. 115. Brock W, Malliaris A 1989 Differential equations, stability and chaos in dynamic economics North—Holland. 116. White H 1989 Some asymptotic results for learning in single hidden-layer feed forward network models Journal of the American Statistical Association 84 (408) pp 1003-1013. 117. Brock W 1990 Chaos and complexity in economic and financial science in von Furstenberg G editor Acting under uncertainty: Multidisciplinary conceptions Kluwer The Netherlands. 118. Scheinkman J 1990 Nonlinearities in economic dynamics Economic Journal 100 pp 33—48. 119. Tong H 1990 Nonlinear time series a dynamical systems approach Oxford University Press Oxford UK. 120. Decoster G P, Mitchell D W 1991 Nonlinear monetary dynamics Journal of Business and Economic Statistics 9 pp 455-462. 121. Nychka D, Ellner S, Gallant R, McCaffrey D 1992 Finding chaos in noisy systems Journal of the Royal Statistical Society B 54 (2) pp 399-426. 122. Bullard J B, Butler A 1993 Nonlinearity and chaos in economic models: Implications for policy decisions Working Paper 1991-002B Federal Reserve Bank of St Louise USA http://research.stlouisfed.org/wp/1991/91-002.pdf . 123. Granger C W J, T Terasvirta 1993 Modelling nonlinear economic relationships Oxford University Press Oxford UK. 124. Kaplan D T 1994 Exceptional events as evidence for determinism Physica D 73 (1-2) pp 38-48. 125. Ramsey J B, Rothman P 1994 Comment on nonlinear monetary dynamics by DeCoster G P and Mitchell D W Journal of Business and Economic Statistics 12 pp 135-136. 126. Abhyankar A H, Copeland L S, Wong W W 1995 Nonlinear dynamics in real-time equity market indices: evidence from the UK Economic Journal 105 (431) pp 864-880. 127. Abhyankar A H, Copeland L S, Wong W W 1997 Uncovering nonlinear structure in real-time stock-market indexes: the S&P 500, the DAX, the Nikkei 225, and the FTSE- 100 Journal of Business and Economic Statistics 15 (1) pp 1-14. 128. Ghashghaie S, Breymann W, Peinke J, Talkner P, Dodge Y 1996 Turbulent cascades in foreign exchange markets Nature 381 (6585) pp 767 - 770. 129. van Dijk D, Franses P H, Lucas A 1996 Testing for smooth transition nonlinearity in the presence of outliers Tinbergen Institute Erasmus University Rotterdam; Rotterdam Institute for Business Economic Research and Econometric Institute Erasmus University Rotterdam; Financial Sector management Free University Amsterdam The Netherlands pp 1 - 36. 130. Brock W A, Dechert W D, Lebaron B, Scheinkman J A 1996 A test for independence based on the correlation dimension Economic Reviews 15 (3) pp 197-235. 131. Barnett W A, Gallant R A, Hinich M J, Jungeilges J A, Kaplan D T 1997 A single-blind controlled competition among tests for nonlinearity and chaos Journal of Econometrics pp 1 - 57. 132. Wymer C R 1997 Structural nonlinear continuous time models in econometrics Macroeconomic Dynamics 1 pp 518-548. 133. Ahn D-H, Gao B 1999 A parametric nonlinear model of term structure dynamics Review of Financial Studies 12 no 4 pp 721-762. 134. Agnon Y, Golan A, Shearer M 1999 Nonparametric, nonlinear, short term forecasting: Theory and evidence for nonlinearities in the commodity markets Economic Letters 65 pp 293-299. 135. Barnett W A, Serletis A 2000 Martingales, nonlinearity, and chaos Journal of Economic Dynamics and Control 24 pp 703-724. 136. Barnett W A, Yijun He 2000 Unsolved econometric problems in nonlinearity, chaos, and bifurcation Department of Economics Washington University; Department of Economics, Washington State University pp 1 - 28. 137. Kim Ch-J, Morley J, Piger J 2002 Nonlinearity and the permanent effects of recessions Working Paper 2002-014E Federal Reserve Bank of St. Louis http://research.stlouisfed.org/wp/2002/2002-014.pdf . 138. Kim D H, Osborn D R, Sensier M 2002 Nonlinearity in the Fed’s monetary policy rule Centre for Growth and Business Cycle Research University of Manchester UK pp 1 - 45 http://www.ses.man.ac.uk/cgbcr/discussi.htm . 139. Kim D H 2003 Nonlinearity in the Term Structure Centre for Growth and Business Cycle Research University of Manchester UK pp 1 - 45 http://www.ses.man.ac.uk/cgbcr/discussi.htm . 140. Blake A P, Kapetanious G 2003 Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean Working Paper no 496 University of London ISSN 1473-0278 pp 1-21. 141. Dahl C M, Gonz´alez-Rivera G 2003 Testing for neglected nonlinearity in regression models based on the theory of random fields Journal of Econometrics 114 pp 141–164. 142. Chortareas G, Kapetanious G, Uctum M 2003 A nonlinear approach to public finance sustainability in Latin America Working Paper No 486 University of London UK ISSN 1473-0278 pp 1 - 22. 143. Cuaresma J C 2003 Some million thresholds: Nonlinearity and cross-country growth regressions Department of Economics University of Vienna Austria pp 1 - 23. 144. Dahl C M, Gonz´alez-Rivera G, Qin Y 2005 Statistical inference and prediction in nonlinear models using additive random fields Working Paper Department of Economics Purdue University France. 145. Kesriyeli M, Osborn D R, Sensier M 2004 Nonlinearity and structural change in interest rate reaction functions for the US, UK and Germany Centre for Growth and Business Cycle Research University of Manchester UK pp 1 - 31 http://www.ses.man.ac.uk/cgbcr/discussi.htm . 146. Bond D, Harrison M J, O’Brien E J 2005 Investigating nonlinearity: A note on the estimation of Hamilton’s random field regression model Studies in Nonlinear Dynamics and Econometrics pp 1 - 48. 147. Chappell D, Panagiotidis T 2005 Using the correlation dimension to detect nonlinear dynamics: Evidence from the Athens Stock exchange Finance Letters 3 (4) pp 29-32. 148. Bond D, Harrison M J, Hession N, O’Brien E J 2006 Some empirical observations on the forward exchange rate anomaly University of Ulster; Trinity College Dublin; CBFSAI pp 1 - 25. 149. Sarno L, Valeufe G, Leon H 2006 Nonlinearity in deviations from uncovered interest parity: An explanation of the forward bias puzzle WP/06/136 International Monetary Fund pp 1 - 44. 150. De Veirman E 2007 Which Nonlinearity in the Phillips Curve? The Absence of Accelerating Deflation in Japan Reserve Bank of New Zealand ISSN 1177-7567 pp 1 – 51 http://www.rbnz.govt.nz/research/discusspapers/ . 151. Jaiswal A K, Niraj P 2007 Examining the nonlinear effects in satisfaction-loyalty-behavioral intentions model WP No 2007-11-01 Indian Institute of Management Ahmedabad India pp 1- 30. 152. Marmer V 2008 Nonlinearity, nonstationarity, and spurious forecasts Journal of Econometrics 142 (1) pp 1-27. 153. Xiaohong Chen, Hansen L P, Carrasco M 2009 Nonlinearities and temporal dependence CIRANO ISSN 1198-8177 pp 1 - 33. 154. Mussoa A, Straccaa L, van Dijk D 2009 Instability and nonlinearity in the Euro-area Phillips curve International Journal of Central Banking pp 181 - 212. 155. Serletis A, Malliaris A G, Hinich M J, Gogas P 2010 Episodic nonlinearity in leading global currencies pp 1 - 27 http://econ.ucalgary.ca/serletis.htm . 156. Panagiotidis T 2010 An out-of-sample test for nonlinearity in financial time series: an empirical application WP 10-20 The Rimini Centre for Economic Analysis (RCEA) Italy; Department of Economics University of Macedonia Greece www.rcfea.org 157. Wanfeng Yan, Woodard R, Sornette D 2010 Inferring fundamental value and crash nonlinearity from bubble calibration ETH Zurich; Swiss Finance Institute University of Geneva Switzerland http://arxiv.org/abs/1011.5343v1 . |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/49921 |
Available Versions of this Item
- Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets. (deposited 18 Sep 2013 23:55) [Currently Displayed]