Mostafa Sohoulivahed; Mohammadali Aghaei; Fariborz Avazzadeh Fath; Ali Pirzad
Abstract
Purpose: The purpose of this research was to provide a model for predicting time series of financial information based on the Lyapunov representation of information using chaos theory.Method: This research is applied in its purpose, which is conducted using a quantitative approach. The research ranks ...
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Purpose: The purpose of this research was to provide a model for predicting time series of financial information based on the Lyapunov representation of information using chaos theory.Method: This research is applied in its purpose, which is conducted using a quantitative approach. The research ranks as descriptive-causal accounting research based on actual information in companies' financial statements. The research method is the "post-event" type and was carried out using chaos theory and Saida's method based on the Lyapunov view.Findings: The findings showed that during the ADF test, the null hypothesis was rejected at a level of less than 5% type 1 error and 95% confidence, and it shows that the data is not static. During the substitution analysis test and its significance level, the behavior of the time series of the main financial information is significantly different compared to their substitutes. The obtained value was calculated to describe the production process of all data sets for μ = 2, ApEnMax equal to 0.65 and rMax equal to 0.32, and for μ = 3, ApEnMax equal to 0.6 and rMax equal to 0.44. The value of the Lyapunov profile in stability at a certain point is less than zero and in the limited cycle of stability is equal to zero and in chaos, it is greater than zero and smaller than ∞, and in noise it is equal to ∞.Conclusion: The results show that higher returns, encourage investors to invest and increase the flow of capital. It is believed that companies' stock returns are a function of systematic risk, and systematic risk represents the changes in the return rate of a share compared to the changes in the return rate of the entire stock market.
