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Forecasting 1999 - Chaos Theory

Forecasting 1999 - Chaos Theory - Forecasting Financial...

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Copyright © 1999 -2006 Investment Analytics Forecasting Financial Markets – Chaos Theory Slide: 1 Forecasting Financial Markets Chaos Theory
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Copyright © 1999 -2006 Investment Analytics Forecasting Financial Markets – Chaos Theory Slide: 2 Overview ¾ Fractals Self-similarity ¾ Fractal Market Hypothesis ¾ Long Term Memory Processes Rescale Range Analysis Biased Random walk Hurst Exponent ¾ Cycles ¾ Phase Space ¾ Chaos & the Capital Markets
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Copyright © 1999 -2006 Investment Analytics Forecasting Financial Markets – Chaos Theory Slide: 3 The Chaos Game Plot point P at random Roll dice Proceed halfway from P to point labeled with rolled number & plot new point Repeat 10,000 times P A (1, 2) B (3, 4) C (5, 6)
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Copyright © 1999 -2006 Investment Analytics Forecasting Financial Markets – Chaos Theory Slide: 4 The Sierpinksi Triangle
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