An Empirical Analysis on Forecasting Stock Price: By Maximum Lyapunov Exponent and Fractal Dimension

In this empirical analysis of Shanghai Composite Index, we focus on the relationship between maximum Lyapunov exponent, fractal dimension and stock price. The former one is to measure the chaos degree of the market. And under relatively weak chaos condition, fractal dimension, which is defined by Hurst exponent, is found to be an ideal prediction of stock price. Both of maximum Lyapunov exponent and fractal dimension show their potential in risk management and detecting financial bubbles.