Non-linear dynamics in futures prices: Evidence from the coffee, sugar and cocoa exchange

Applied Financial Economics

Volumn 13, Issue 4, 2003, Pages 245-256

  Adrangi, B ^a   Chatrath, A ^a  

^a UNIVERSITY OF PORTLAND   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

AGRICULTURAL TRADE; GOODS EXCHANGE; PRICE DYNAMICS; THEORETICAL STUDY;

EID: 0038033153     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100110115660     Document Type: Article

References (44)

1. Aczel, A. D. and Josephy, N. H. (1991) The chaotic behavior of foreign exchange rates, American Economist, 35, 16-24.
2. Akaike, H. (1974) A new look at statistical model identification, IEEE Transactions on Automatic Control, 19, 716-23.
3. Baumol, W. J. and Benhabib, J. (1989) Chaos: significance, mechanism and economic applications, Journal of Economic Perspectives, 3, 77-105.
4. Benhabib, W. J. and Day, R. H. (1981) Rational choice and erratic behavior, Review of Economic Studies, 48, 459-72.
5. Benhabib, W. J. and Day, R. H. (1982) A characterization of erratic dynamics in the overlapping generations model, Journal of Economic Dynamics and Control, 4, 37-55.
6. Bessembinder, H., Coughenour, J. F., Seguin, P. J. and Smoller, M. M. (1966) Is there a term structure of futures volatility? Reevaluating the Samuelson hypothesis, Journal of Derivatives, Winter, 45-58.
7. Blank, S. C. (1991) 'Chaos' in futures markets? A non-linear dynamical analysis, Journal of Futures Markets, 11, 711-28.
8. Blume, L., Easley, D. and O'Hara, M. (1994) Market statistics and technical analysis: the role of volume, Journal of Finance, 49, 153-81.
9. Bohan, J. (1981) Relative strength: further positive evidence, Journal of Portfolio Management, Fall, 36-9.
10. Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307-27.
11. Brock, W. A. (1986) Distinguishing random and deterministic systems, Journal of Economic Theory, 40, 168-95.
12. Brock, W. A., Dechert, W. and Scheinkman, J. (1987) A test of independence based on the correlation dimension, unpublished manuscript, University of Wisconsin, Madison, University of Houston and University of Chicago.
13. Brock, W. A., Hsieh, D. A. and LeBaron, B. (1993) Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence, MIT Press, Cambridge, MA.
14. Brock, W. A and Sayers, C. L. (1988) Is the business cycle characterized by deterministic chaos?, Journal of Monetary Economics, 22, 71-90.
15. Brock, W., Lakonishok, J. and LeBaron, B. (1992) Simple technical trading rules and the stochastic properties of stock returns, Journal of Finance, 47, 1731-64.
16. Brush, J. (1986) Eight relative strength methods compared, Journal of Portfolio Management, Fall, 21-8.
17. Chang, P. H. K. and Osler, C. L. (1995) Head and shoulder not just a flaky pattern, Federal Reserve Bank of New York Staff Papers, No. 4.
18. Clyde, W. C. and Osler, C. L. (1997) Charting chaos theory in disguise?, Journal of Futures Markets, 17, 489-514.
19. DeCoster, G. P., Labys, W. C. and Mitchell, D. W. (1992) Evidence of chaos in commodity futures prices, Journal of Futures Markets, 12, 291-305.
20. Deneckere, R. and Pelikan, S. (1986) Competitive chaos, Journal of Economic Theory, 40, 12-25.
21. Devaney, R. L. (1986) An Introduction to Chaotic Dynamical Systems, Benjamin/Cummings Publishing, Menlo Park, CA.
22. Dickey, D. A. and Fuller, W. A. (1981) Hood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-72.
23. Engle, R. F. (1982) Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987-1007.
24. Frank, M. and Stengos, T. (1989) Measuring the strangeness of gold and silver rates of return, Review of Economic Studies, 456, 553-67.
25. Grassberger, P. and Procaccia, I. (1983) Measuring the strangeness of strange attractors, Physica, 9, 189-208.
26. Guckenheimer, J. and Holmes, P. (1986) Nonlinear Oscillations, Dynamical Systems, and Bifurcations of Vector Fields, Springer-Verlag Publishing, New York.
27. Hsieh, D. A. (1989) Testing for nonlinear dependence in daily foreign exchange rates, Journal of Business, 62, 339-68.
28. Hsieh, D. A. (1991) Chaos and nonlinear dynamics: applications to financial markets, Journal of Finance, 46, 1839-76.
29. Hsieh, D. A. (1993) Implications of nonlinear dynamics for financial risk management, Journal of Financial and Quantitative Analysis, 28, 41-64.
30. LeBaron, B. (1991) Technical trading rules and regimes shifts in foreign exchange, University of Wisconsin, Social Sciences Research Institute Working Paper.
31. Lichtenberg, A. J. and Ujihara, A. (1988) Application of nonlinear mapping theory to commodity price fluctuations, Journal of Economic Dynamics and Control, 13, 225-46.
32. Mayfield, E. S. and Mizrach, B. (1992) On determining the dimension of the real time stock price data, Journal of Business and Economic Statistics, 10, 367-74.
33. Nelson, D. (1991) Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347-70.
34. Nelson, C. and Plosser, C. (1982) Trends and random walks in macroeconomic time series, Journal of Monetary Economics, 10, 139-62.
35. Pagan, A. and Schwert, G. (1990) Alternative models for conditional stock volatility, Journal of Econometrics, 45, 267-90.
36. Pruitt, S. W. and White, R. E. (1988) The CRISMA trading system: who says technical analysis can't beat the market?, Journal of Portfolio Management, 14, 55-8.
37. Pruitt, S. W. and White, R. E. (1989) Exchange-traded options and CRISMA trading: who says technical analysis can't beat the market? Journal of Portfolio Management, 55-6.
38. Rabemananjara, R. and Zakoian, J. M. (1993) Threshold ARCH models and asymmetries in volatility, Journal of Applied Econometrics, 8, 31-49.
39. Samuelson, P. A. (1965) Proof that properly anticipated prices fluctuate randomly, Industrial Management Review, 6, 41-63.
40. Scheinkman, J. and LeBaron, B. (1989) Nonlinear dynamics and stock returns, Journal of Business, 62, 311-37.
41. Stutzer, M. J. (1980) Chaotic dynamics and bifurcation in a macro-model, Journal of Economic Dynamics and Control, 2, 253-76.
42. Takens, F. (1984) On the numerical determination of the dimension of an attractor, in dynamical systems and bifurcations, Lecture Notes in Mathematics, Springer-Verlag, Berlin.
43. Taylor, S. J. (1994) Trading futures using a channels rule: a study of the predictive power of technical analysis with currency examples, Journal of Futures Markets, 14, 215-35.
44. Yang, S. and Brorsen, B. W. (1993) Nonlinear dynamics of daily futures prices: conditional heteroscedasticity or chaos?, Journal of Futures Markets, 13, 175-91.