Resumo

ESPINOSA MENDEZ, Christian. CAOS EN EL MERCADO DE COMMODITIES. Cuad. Econ. [online]. 2010, vol.29, n.53, pp.155-177. ISSN 0121-4772.

This article employs six techniques and tools such as chart analysis, chart recurrence, space temporary entropy, Hurst coefficient, Lyapunov exponent and dimension correlation on the copper, gold, oil, silver, zinc, aluminium, nickel, and lead return series to corroborate the existence of a chaotic behaviour in the market for commodities. Evidence that the financial markets behave in a chaotic way versus the randomness hypothesis is found. In addition, the study contrasts non-normally, non-randomness and nonlinearity. These results contradict some of the basic assumptions of modern financial theory.

Palavras-chave : recurrence chart; Hurst coefficient; Lyapunov exponent; dimension correlation; BDS test; metals; chaos; commodities.

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