Investigating Chaos in Tehran Stock Exchange Index

Modeling and analysis of future prices has been hot topicfor economic analysts in recent years. traditionally, thecomplex movements in the prices are usually taken as randomor stochastic process. however, they may be produced by adeterministic nonlinear process. accuracy and efficiency ofeconomic models in the short period forecasting is strategic andcrucial for business world. nonlinear models are efficientenough and suitable for short time forecasting. so notableattempts is devoted on understanding different economic timeseries' and nonlinear dynamical models that can fit them.in this paper, it is tried to investigate tehran stock exchangeindex time series. it is assumed. so, the correlation dimension(cd), the hurst exponent, and the largest lyapunov exponent(lle) ofthe time series are calculated. it is shown that the timeseries corresponding to tehran stock exchange index isnonlinear. the analyses of the results show enough evidence toaccept the conjecture of existence chaotic behavior in tehranstock exchange index.