Martingales, Nonlinearity, and Chaos

By W. Barnett, Apostolos Serletis. 2000

169 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e2e5c45e95a4d0a3506ea56a6de68ec54d872494

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. K. Lim
2. R. Brooks
3. F. Foroutan
4. Saeed Moshiri
5. Jae Hyun Kim

In Finance

1. K. Lim
2. R. Brooks
3. Jae Hyun Kim

Citations in the corpus

• Forecasting Nonlinear Crude Oil Futures Prices (2006, background): “More studies about chaos in economics can be found in Ramsey et al. (1990), Serletis (1996), Barnett et al. (1997), and Barnett and Serletis (2000) among others.”
• The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, result): “The issue of whether chaos exists in stock markets has generated much excitement because its presence suggests the potential of shortterm return predictability and hence contradicts the weak-form EMH (for details, see the survey papers by LeBaron, 1994; Barnett and Serletis, 2000).”