Evidence of chaos in commodity futures prices

[1]  Stephen L Taylor.  Conjectured models for trends in financial prices, tests and forecasts , 1980 .

[2]  Walter C. Labys,et al.  Speculation, Hedging and Commodity Price Forecasts , 1971 .

[3]  Thanasis Stengos,et al.  Some evidence concerning macroeconomic chaos , 1988 .

[4]  Douglas W. Mitchell,et al.  Nonlinear Monetary Dynamics , 1991 .

[5]  Robert Savit,et al.  When random is not random: An introduction to chaos in market prices , 1988 .

[6]  M. Gross.  A semi‐strong test of the efficiency of the aluminum and copper markets at the LME , 1988 .

[7]  B. Mandelbrot.  The Variation of Certain Speculative Prices , 1963 .

[8]  B. Mandelbrot.  New Methods in Statistical Economics , 1963, Journal of Political Economy.

[9]  William A. Barnett,et al.  Dynamic econometric modeling: The aggregation-theoretic monetary aggregates are chaotic and have strange attractors: an econometric application of mathematical chaos , 1988 .

[10]  Raymond M. Leuthold,et al.  RANDOM WALK AND PRICE TRENDS: THE LIVE CATTLE FUTURES MARKET , 1972 .

[11]  B. LeBaron,et al.  Nonlinear Dynamics and Stock Returns , 2021, Cycles and Chaos in Economic Equilibrium.

[12]  Brian G. Kingsman,et al.  A Reappraisal of the Efficiency of Financial Markets (Nato ASI Series (closed) / Nato ASI Subseries F , 2012 .

[13]  T. Cargill,et al.  TEMPORAL PRICE BEHAVIOR IN COMMODITY FUTURES MARKETS , 1975 .

[14]  R. Lucas.  ASSET PRICES IN AN EXCHANGE ECONOMY , 1978 .

[15]  Gordon C. Rausser,et al.  Time and Frequency Domain Representations of Futures Prices as a Stochastic Process , 1972 .

[16]  D. W. Mitchell,et al.  The efficacy of the correlation dimension technique in detecting determinism in small samples , 1991 .

[17]  W. Brock.  Distinguishing random and deterministic systems: Abridged version , 1986 .

[18]  R. Quandt,et al.  CHAOS MODELS AND THEIR IMPLICATIONS FOR FORECASTING , 2016 .

[19]  David Hsieh.  Testing for Nonlinear Dependence in Daily Foreign Exchange Rates , 1989 .

[20]  R. MacDonald,et al.  Testing Rational Expectations and Efficiency in the London Metal Exchange , 1988 .

[21]  Jean-Pierre Danthine,et al.  Martingale, market efficiency and commodity prices , 1977 .

[22]  G. Gabisch.  Nonlinearities in dynamic economic systems , 1987 .

[23]  B. Brorsen,et al.  INVESTIGATION OF PRICE DISCOVERY AND EFFICIENCY FOR CASH AND FUTURES COTTON PRICES , 1984 .

[24]  F. Takens.  Detecting strange attractors in turbulence , 1981 .

[25]  F. Van Der Ploeg.  Rational Expectations, Risk and Chaos in Financial Markets , 1986 .

[26]  E. Fama.  EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* , 1970 .

[27]  M. C. Jensen.  Some Anomalous Evidence Regarding Market Efficiency , 1978 .

[28]  David Kelsey,et al.  THE ECONOMICS OF CHAOS OR THE CHAOS OF ECONOMICS , 1988 .

[29]  Jess Benhabib,et al.  Chaos: Significance, Mechanism, and Economic Applications , 1989 .

[30]  Murray Z. Frank,et al.  Measuring the Strangeness of Gold and Silver Rates of Return , 1989 .

[31]  W. Brock,et al.  Is the business cycle characterized by deterministic chaos , 1988 .

[32]  Douglas M. Patterson,et al.  Evidence of Nonlinearity in Daily Stock Returns , 1985 .

[33]  Murray Z. Frank,et al.  CHAOTIC DYNAMICS IN ECONOMIC TIME‐SERIES , 1988 .

[34]  S. Gupta,et al.  A test of the efficiency of futures markets in commodities , 1981 .