INDICATIONS OF CHAOTIC BEHAVIOR IN BUCHAREST STOCK EXCHANGE BET INDEX

In this paper, several tests are undertaken in an attempt to detect the presence of chaos in a time series taken from an emerging stock market: Bucharest Stock Exchange. Any nonlinear scalar time series is assumed to be the output (by an observation function) of a deterministic, nonlinear (and eventually chaotic) dynamical system. Time series embedding and reconstruction is a method for detecting strange attractors in the multidimensional phase space of the underlying dynamical system, which would be an indication of chaotic behavior. Various different tests for chaos, related to the embedding methodology, have been proposed in literature. Some of the most important have been included in our experimental design, in order to increase the reliability of our results and to eventually avoid misleading conclusions.