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dc.contributor.authorLAHMIRI, Salim
dc.contributor.authorSALAH UDDIN, Gazi
dc.contributor.authorBEKIROS, Stelios D.
dc.date.accessioned2018-01-08T16:23:48Z
dc.date.available2018-01-08T16:23:48Z
dc.date.issued2017
dc.identifier.citationChaos, solitons & fractals, 2017, Vol. 103, pp. 342-346en
dc.identifier.issn0960-0779
dc.identifier.urihttps://hdl.handle.net/1814/49794
dc.descriptionPublished online: 27 June 2017en
dc.description.abstractWe 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.en
dc.language.isoenen
dc.publisherElsevieren
dc.relation.ispartofChaos, solitons & fractals
dc.subjectFinancial marketsen
dc.subjectHurst and Lyapunov exponentsen
dc.subjectRenyi entropyen
dc.subjectDFAen
dc.titleNonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisisen
dc.typeArticleen
dc.identifier.doi10.1016/j.chaos.2017.06.019
dc.identifier.volume103
dc.identifier.startpage342
dc.identifier.endpage346
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