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Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis
ESCA School Management, Morocco.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
European University of Institute, Italy.
2017 (English)In: Chaos, Solitons & Fractals, ISSN 0960-0779, E-ISSN 1873-2887, Vol. 103, p. 342-346Article in journal (Refereed) Published
Abstract [en]

We 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. (C) 2017 Elsevier Ltd. All rights reserved.

Place, publisher, year, edition, pages
Pergamon Press, 2017. Vol. 103, p. 342-346
Keyword [en]
Financial markets; Hurst and Lyapunov exponents; Renyi entropy; DFA
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-141702DOI: 10.1016/j.chaos.2017.06.019ISI: 000410680700036Scopus ID: 2-s2.0-85021190500OAI: oai:DiVA.org:liu-141702DiVA: diva2:1147338
Available from: 2017-10-05 Created: 2017-10-05 Last updated: 2017-10-10Bibliographically approved

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Uddin, Gazi Salah

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