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Journal of Applied Nonlinear Dynamics
Miguel A. F. Sanjuan (editor), Albert C.J. Luo (editor)
Miguel A. F. Sanjuan (editor)

Department of Physics, Universidad Rey Juan Carlos, 28933 Mostoles, Madrid, Spain


Albert C.J. Luo (editor)

Department of Mechanical and Industrial Engineering, Southern Illinois University Ed-wardsville, IL 62026-1805, USA

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Detecting Chaos and Nonlinear Dynamics in Sao Paulo Stock Exchange Index Returns (IBOVESPA)

Journal of Applied Nonlinear Dynamics 7(1) (2018) 45--58 | DOI:10.5890/JAND.2018.03.004

Ferrouhi El Mehdi

Faculty of Law, Economics and Social Sciences, Ibn Tofail University, Kenitra, Morocco

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The market efficiency theory states that stock returns on efficient markets are random, and then, we cannot predict accurately their future evolutions. Chaos theory is considered as a remedy for this insufficiency since the evolution of chaotic systems appears random but follows precise rules. After the application of detection’s tools of deterministic chaos to IBOVESPA returns, we obtained a fractal dimension equal to 2.5, the convergence of Lyapunov exponent towards positive values and first Lyapunov exponent characterized by its positivity. Results obtained after the application of the Nearest Neighbors method allows us to conclude IBOVESPA returns are characterized by sensitivity to initial conditions and are therefore chaotic.


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