Ítem
Solo Metadatos

The effect of chaotic recurrence and financial events on stock market

Mostrar el registro sencillo de la publicación
dc.creatorJuárez, Fernando
dc.date.accessioned2020-09-11T21:06:46Z
dc.date.available2020-09-11T21:06:46Z
dc.date.created2015spa
dc.description.abstractCompany´s market share price can be affected by financial events or be a consequence of the stock market chaotic trend. This effect also depends on company market capitalization. In technical analysis of the stock market, chaotic recurrence analysis can help to determine whether this impact comes from a market chaotic long-term trend or financial events. Therefore, the purpose of the study was to analyze whether the issuers´ share price reaction in the stock market is a consequence of financial events or a chaotic trend in the market. The share value of three representative companies in the Colombian stock exchange during the years 2006-2010 were analyzed. The companies were selected according to their market capitalization. The fall of the Colombian market index was taken as a breakpoint. Log transformations and a nonlinear recurrence analysis model were applied to these data. The recurrence analysis was fit to the data series before the fall of the Colombian market index and then to the entire time series. Model parameters, such as laminarity, determinism, recurrence, entropy, trapping time, delay and embedded dimensions were identified. Despite differences existed in recurrence plots, all of the quantitative recurrence analysis parameters were the same in all models, and the breaking point had no effect on them. The conclusion was that a strong chaotic recurrence exists, which shadows the effect of the market index fall.eng
dc.format.mimetypeapplication/pdf
dc.identifier.isbnISBN: 978-1-61804-280-4spa
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/29872
dc.language.isoeng
dc.publisherWSEAS Pressspa
dc.relation.citationEndPage112
dc.relation.citationStartPage108
dc.relation.citationTitleAdvances in Environmental Science and Energy Planning
dc.relation.ispartofAdvances in Environmental Science and Energy Planning, ISBN: 978-1-61804-280-4 (2015); pp. 108-112spa
dc.relation.ispartofProceedings of the 11th International Conference on Energy, Environment, Ecosystems and Sustainable Development (EEESD '15)spa
dc.relation.ispartofProceedings of the 8th International Conference on Urban Planning and Transportation (UPT '15)spa
dc.relation.ispartofProceedings of the 3rd International Conference on Management, Marketing, Tourism, Retail, Finance and Computer Applications (MATREFC '15)spa
dc.relation.urihttp://www.wseas.us/e-library/conferences/2015/Tenerife/ENVIR/ENVIR-14.pdfspa
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)spa
dc.sourceAdvances in Environmental Science and Energy Planningspa
dc.source.instnameinstname:Universidad del Rosario
dc.source.reponamereponame:Repositorio Institucional EdocUR
dc.subject.keywordStock marketspa
dc.subject.keywordShare pricespa
dc.subject.keywordChaosspa
dc.subject.keywordFinancial crisisspa
dc.subject.keywordRecurrence analysisspa
dc.titleThe effect of chaotic recurrence and financial events on stock marketspa
dc.title.TranslatedTitleEl efecto de la recurrencia caótica y los eventos financieros en el mercado de valoresspa
dc.typebookParteng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaParte de librospa
Archivos
Colecciones
Libros y capítulos de libro