INVESTIGATING THE STOCK’S PRICE OF TEHRAN STOCK EXCHANGE FIRMS USING CHAOS THEORY

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ROSTAMI MOHAMMAD REZA; BAGHI NAIERI FARZANEH; GHASEMI JAVAD

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2011 | Volume:2 | Issue:7 Page(s): 1-19

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Title

INVESTIGATING THE STOCK’S PRICE OF TEHRAN STOCK EXCHANGE FIRMS USING CHAOS THEORY

Author(s)

ROSTAMI MOHAMMAD REZA | BAGHI NAIERI FARZANEH | GHASEMI JAVAD | Issue Writer Certificate

Keywords

CHAOSQ2

LYAPUNOV EXPONENTQ2

ROSENSTEIN ALGORITHMQ2

TYLOR ALGORITHMQ2

Abstract

Non linear dynamic systems show different behaviors and can be applied in most of financial and economic events which seem accidental. CHAOS theory recommend a new approach to investigate how non linear dynamic systems in dynamic and financial markets change. This research investigate stock's price from 31 sample of Tehran stock exchange (TSE) which has the highest trade volume and market value from the view of Chaotic behavior using CHAOS theory and the biggest LYAPUNOV EXPONENT during the year 1380-1388.This paper use Rosenstein and TYLOR ALGORITHM in order to estimate LYAPUNOV EXPONENT. The results show that there is Choatic behavior in time series of prices. These results imply in inefficiency in stock market and it’s predicting ability to.

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APA: Copy

ROSTAMI, MOHAMMAD REZA, BAGHI NAIERI, FARZANEH, & GHASEMI, JAVAD. (2011). INVESTIGATING THE STOCK’S PRICE OF TEHRAN STOCK EXCHANGE FIRMS USING CHAOS THEORY. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 2(7), 1-19. SID. https://sid.ir/paper/197894/en

Vancouver: Copy

ROSTAMI MOHAMMAD REZA, BAGHI NAIERI FARZANEH, GHASEMI JAVAD. INVESTIGATING THE STOCK’S PRICE OF TEHRAN STOCK EXCHANGE FIRMS USING CHAOS THEORY. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2011;2(7):1-19. Available from: https://sid.ir/paper/197894/en

IEEE: Copy

MOHAMMAD REZA ROSTAMI, FARZANEH BAGHI NAIERI, and JAVAD GHASEMI, “INVESTIGATING THE STOCK’S PRICE OF TEHRAN STOCK EXCHANGE FIRMS USING CHAOS THEORY,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 2, no. 7, pp. 1–19, 2011, [Online]. Available: https://sid.ir/paper/197894/en

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