Deterministic Chaos in S&P500 Returns. | ISF 2021 Conference Talk.
Channel: VoglData
Date: 2021-08-02

Live talk at the ISF2021 conference about our "chaos" study.


Abstract:
In this study, we show that the dynamics of daily wavelet-filtered (denoised) S&P 500 returns (2000–2020) consist of an almost equally divided combination of stochastic and deterministic chaos. We achieve the latter insight by applying a novel and combinatory chaos analysis comparing the wavelet-filtered S&P 500 returns with respective surrogate datasets, Brownian motion returns and a Lorenz system realisation. Furthermore, we are the first to show the strange attractor of especially the daily-frequented S&P500 return system graphically via Takens´ embedding and by spectral embedding in combination with Laplacian Eigenmaps. We elaborate on relevant literature from the field of nonlinear and financial chaos research to state the current status quo. Finally, we critically discuss implications and future prospects.

Keywords:
nonlinear dynamics, chaos, financial chaos, recurrence analysis, financial predictions, financial markets





ISF-Conference:
https://isf.forecasters.org/


Behavioral Accounting and Finance Lab:
https://www.th-ab.de/ueber-uns/organisation/labor/behavioral-accounting-and-finance-lab/


Vogl Data Science:
https://vogl-datascience.de/


Chaos Paper Working Version:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3802753

Published in:
Chaoticity Versus Stochasticity in Financial Markets: Are Daily S&P 500 Return Dynamics Chaotic? In: Communications in Nonlinear Science and Numerical Simulation, 108, 106218 https://www.sciencedirect.com/science/article/abs/pii/S1007570421004858#! 


Sources and License:
Max Tune (Music)
Stefan Keller (Thumb)

MART PRODUCTION (Animated Video)


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#attractor #python #pythonprogramming #isfconf2021