A Research of Nonlinear Chaos in the Futures Market

• Main Authors: Huang, Huan-Chung, 黃汎鍾
• Other Authors: Yeong-Jia Goo
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/22911269009461165135

碩士 === 國立臺北大學 === 企業管理學系 === 90 === The chaos theory originally derives from the physical and mathematical flied. But now the chaos theory is applied to the financial market. We attempt to detect chaotic behavior in the financial market, using techniques which can present chaotic behavior clearly and offer better techniques to solve the problems. This research tests for the presence of chaotic behavior in the prices of Taiwan Futures Market, including three index futures (TX, TE, TF). We use three techniques to detect chaotic behavior in this research. They are BDS Test, Correlation Dimension, and Close Return Test. The first result indicates that the prices of Taiwan Futures Market have chaotic behavior because the correlation Dimensions are convergent and the close return plots present chaotic behavior. The second result indicates that close return test is the best of the three techniques because it improves some shortcomings in BDS Test and Correlation Dimension and provides more evidences of chaotic and nonlinear behavior.