Journal of Pure and Applied Mathematics: Advances and ApplicationsAuthor's: Yan Peng and Kuangding Peng
Pages: [153] - [177]
Received Date: March 12, 2010
Submitted by:
We propose an analytical model on the chaotic behavior of stock prices. Based on the logistic equation and the Melnikov’s method, we have shown circumstances under which stock prices exhibit chaotic behavior. We illustrate that the prices of Chinese listed stocks are more likely to fall into chaos due to the features of Chinese stock markets. Our theoretical predictions are consistent with the empirical results showing the multifractal properties of Chinese stock prices.
chaotic analysis, Melnikov’s method, homoclinic orbit, logistic equation, Chinese stock prices.
