Chaotic behavior in Malaysian stock market

A study with recurrence quantification analysis

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

The dynamics of stock market has been questioned for decades. Its behavior appeared random yet some found it behaves as chaos. Up to 5000 daily adjusted closing data of FTSE Bursa Malaysia Kuala Lumpur Composite Index (KLSE) was investigated through recurrence plot and recurrence quantification analysis. Results were compared between stochastic system, chaotic system and deterministic system. Results show that KLSE daily adjusted closing data behaves chaotically.

Original languageEnglish
Title of host publication2016 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2016 Postgraduate Colloquium
PublisherAmerican Institute of Physics Inc.
Volume1784
ISBN (Electronic)9780735414464
DOIs
Publication statusPublished - 17 Nov 2016
Event2016 Postgraduate Colloquium of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology, UKM FST 2016 - Selangor, Malaysia
Duration: 13 Apr 201614 Apr 2016

Other

Other2016 Postgraduate Colloquium of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology, UKM FST 2016
CountryMalaysia
CitySelangor
Period13/4/1614/4/16

Fingerprint

closing
Malaysia
chaos
plots
composite materials

Keywords

  • Chaotic
  • Recurrence Plot
  • Recurrence Quantification Analysi
  • Stock Market

ASJC Scopus subject areas

  • Physics and Astronomy(all)

Cite this

Niu, B. V. W., Md. Noorani, M. S., & Jaaman @ Sharman, S. H. (2016). Chaotic behavior in Malaysian stock market: A study with recurrence quantification analysis. In 2016 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2016 Postgraduate Colloquium (Vol. 1784). [050013] American Institute of Physics Inc.. https://doi.org/10.1063/1.4966832

Chaotic behavior in Malaysian stock market : A study with recurrence quantification analysis. / Niu, Betty Voon Wan; Md. Noorani, Mohd. Salmi; Jaaman @ Sharman, Saiful Hafizah.

2016 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2016 Postgraduate Colloquium. Vol. 1784 American Institute of Physics Inc., 2016. 050013.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Niu, BVW, Md. Noorani, MS & Jaaman @ Sharman, SH 2016, Chaotic behavior in Malaysian stock market: A study with recurrence quantification analysis. in 2016 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2016 Postgraduate Colloquium. vol. 1784, 050013, American Institute of Physics Inc., 2016 Postgraduate Colloquium of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology, UKM FST 2016, Selangor, Malaysia, 13/4/16. https://doi.org/10.1063/1.4966832
Niu BVW, Md. Noorani MS, Jaaman @ Sharman SH. Chaotic behavior in Malaysian stock market: A study with recurrence quantification analysis. In 2016 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2016 Postgraduate Colloquium. Vol. 1784. American Institute of Physics Inc. 2016. 050013 https://doi.org/10.1063/1.4966832
Niu, Betty Voon Wan ; Md. Noorani, Mohd. Salmi ; Jaaman @ Sharman, Saiful Hafizah. / Chaotic behavior in Malaysian stock market : A study with recurrence quantification analysis. 2016 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2016 Postgraduate Colloquium. Vol. 1784 American Institute of Physics Inc., 2016.
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