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The Genesis of Uncertainty: Structural Analysis of Stochastic Chaos in Finance Markets

Complexity. 2023. Vol. 2023. No. 1. Article 1302220.
Musaev A., Makshanov A., Dmitry Grigoriev

Te presented article is methodological in nature and is devoted to the analysis of observation series of fnancial asset quotation
changes in capital markets. Te most important feature of these processes is their instability, which manifests itself in high
sensitivity to seemingly minor disturbing factors. Tis phenomenon is well-studied in the theory of nonlinear dynamical systems
and is described by models of deterministic chaos. However, for the processes considered in the article, the dynamic instability of
the immersion environment is exacerbated by stochastic uncertainty caused by random fuctuations in the pricing process. As
a result, describing observation series of quotations of fnancial assets is difcult because it involves stochastic chaos. Tis article
analyzes and classifes chaotic series of observations to help model and forecast related processes.

Research target: Computer Science Economics and Management
Language: English
DOI
Text on another site
Keywords: Stochastic chaos
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