Investigating Chaos in Tehran Stock Exchange Index

Modeling and analysis of future prices has been hot topic for economic analysts in recent years. Traditionally, the complex movements in the prices are usually taken as random or stochastic process. However, they may be produced by a deterministic nonlinear process. Accuracy and efficiency of economic models in the short period forecasting is strategic and crucial for business world. Nonlinear models are efficient enough and suitable for short time forecasting. So notable attempts is devoted on understanding different economic time series’ and nonlinear dynamical models that can fit them.
In this paper, it is tried to investigate Tehran stock exchange index time series. It is assumed. So, the Correlation Dimension (CD), the Hurst Exponent, and the Largest Lyapunov Exponent (LLE) of the time series are calculated. It is shown that the time series corresponding to Tehran stock Exchange index is nonlinear. The analyses of the results show enough evidence to accept the conjecture of existence chaotic behavior in Tehran stock exchange index.