Zastosowanie wykładników Lapunowa do weryfikacji hipotezy rynku koherentnego

• Authors: Monika Miśkiewicz-Nawrocka

Title variants

EN

Application of Lyapunov Exponents to Verify the Hypothesis of Coherent Market

• Languages of publication: PL

Abstracts

EN

The research on price volatility in the capital market, which have been conducted for many years led to create a wide variety of analytical approaches. One of them is developed by T. Vage coherent market hypothesis. To describe the volatility in the stock market T. Vaga proposed nonlinear statistical model based on the theory of social imitation. This model assumes transitions between different states of the capital market: from a state of effective market to a state of chaotic and coherent market. In this paper Vaga's hypothesis will be verified in the Polish capital market. Detailed research will be states of chaotic market, which will be verified by Lyapunov exponents.

Keywords

PL

Rynek kapitałowy; Szeregi czasowe; Teoria chaosu; Wykładniki Lapunowa

EN

Capital market; Chaos theory; Lyapunov exponents; Time-series

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2013
• Volume: 146
• Pages: 79-88

Contributors

author

Monika Miśkiewicz-Nawrocka

References

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Identifiers

ISSN

2083-8611