11 Nonlinear time series, complexity theory, and finance

摘要: Publisher Summary This chapter describes statistical aspects of a line recent work in finance that is associated with nonlinearity, long term dependence, fat tails, chaos theory, and complexity theory. An important subset research practices includes building dynamical systems models. There major subtheme this research, which emphasizes how simple rules can induce complicated behavior the observables. The hope to use combination computer based analytic methods catalogue universality classes as mechanisms generate different types strategy unearth small number complex one see Nature. Wide are searched similar species emergent structure. Routes chaos, such period doubling cascades bifurcations well known examples type methodology.