Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis
Title: Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis
Citation: Chaos, solitons & fractals, 2017, Vol. 103, pp. 342-346
We attempt to quantify the intrinsic nonlinear dynamics of thirty international financial markets. Fractality, chaoticity and randomness are explored during and after the recent global financial crisis. We find that most markets exhibited persistent long-range correlations during the crisis, whilst anti-persistent patterns are identified after the crisis. Moreover, the nonlinear dynamics in all markets do not exhibit chaotic features. Importantly, the degree of randomness has increased in most of markets in the aftermath of the crisis. Overall, the nonlinear characteristics of the temporal dynamics of the major financial markets have been notably modified in the post-crisis period.
Subject: Financial markets; Hurst and Lyapunov exponents; Renyi entropy; DFA
Published online: 27 June 2017
Files in this item
There are no files associated with this item.