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| Tekijä: | Peters, E.E. |
| Otsikko: | A chaotic attractor for the S&P 500 |
| Lehti: | Financial Analysts' Journal
1991 : MAR/APR, VOL. 47:2, p. 55-61 |
| Asiasana: | INVESTMENT PLANNING COSTS PROFITABILITY |
| Kieli: | eng |
| Tiivistelmä: | Assessment of evidence that a chaotic attractor exists for the S&P 500, questioning the efficient market hypothesis and capital asset pricing model. Definition of an attractor. Chaotic attractor. Construction of a phase space. Fractal dimension. Dependence on initial conditions. Implications. Practical considerations. Six Figures illustrate the article. A Glossary of terms is given. |
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