Chaotic Analysis of Egyptian Stock Market with the Application to EGX 30 price Index

Abstract

In this paper we adapt nonlinear dynamic tools from the chaos theory to study the characteristics of the major Egyptian stock market indices, e.g. EGX 30. In particular, we use Brock-Dechert-Scheinkman (BDS) test to detect the nonlinearity and the rescaled range (R/S) analysis to investigate the fractality and long term memory for the EGX 30 series.

Publication
In Proceedings of the 54th Annual International Conference of Statistics, Computer Science and Operations Research, ISSR, Cairo University, Egypt
Date
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