Although volatility clustering has a long history as a salient empirical regularity
characterizing high-frequency speculative prices, it was not until recently that applied …

This paper provides a systematic review of the weak‐form market efficiency literature that
examines return predictability from past price changes, with an exclusive focus on the stock …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

This paper presents a test of independence that can be applied to the estimated residuals of
any time series model that can be transformed into a model driven by independent and …

We describe a statistical approach for identifying nonlinearity in time series. The method first
specifies some linear process as a null hypothesis, then generates surrogate data sets …

A leading pioneer in the field offers practical applications of this innovative science. Peters
describes complex concepts in an easy-to-follow manner for the non-mathematician. He …

Linear and nonlinear Granger causality tests are used to examine the dynamic relation
between daily Dow Jones stock returns and percentage changes in New York Stock …

Combining insights from the new science of complexity with insights from psychoanalysis,
Stacey posits that repressing the anxiety caused by the unstable, ever-changing nature of …

The latest developments in chaos theory-from an industry expert Chaos and Order in the
Capital Markets was the first book to introduce and popularize chaos as it applies to finance …

THE large-scale dynamical properties of some physical systems depend on the dynamical
evolution of a large number of nonlinearly coupled subsystems. Examples include systems …