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Chaos in Capital Market

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2 Author(s)
Xiangqing Zou ; Sch. of Manage., Shanghai Univ., Shanghai, China ; Meilin Zhang

US subprime mortgage crisis is dragging the world into a terrible abyss of financial crisis. The major stock indexes of the world are all falling continuously and sharply. This paper analyzes the world-wide financial crisis from the perspective of chaos theory. We analyze the world's major stock indexes - the Dow Jones index, London FTSE 100 index, the CAC40 index of France, the Nikkei 225 index, the Hang Seng Index in Hong Kong and Shanghai Composite Index. We calculate the Lyapunov exponents based on the rate of monthly returns of the indexes mentioned above by the use of the phase-space reconstruction techniques and Wolf algorithms. We also calculate fractal dimension based on the time series data of the monthly returns rate of the indexes mentioned above by the use of the G-P algorithms put forward by P ldr Grassberger and I ldr Procaccia. The results show that these major indexes are obvious characteristics of the chaos.

Published in:

Computer Science and Information Engineering, 2009 WRI World Congress on  (Volume:2 )

Date of Conference:

March 31 2009-April 2 2009