S.C. Anderson, Evidence on the reflecting barriers model: New opportunities for technical analysis?, Financial Analysts J. (May–June 1989)67–71.
A.A. Andronov, A.A. Vitt and S.E. Khaikin,Theory of Oscillators
(Pergamon, Oxford, 1966).Google Scholar
A. Beja and M.B. Goldman, On the dynamic behaviour of prices in disequilibrium, J. Finance 35(1980)235–248.Google Scholar
F. Black and M. Scholes, The pricing of options and corporate liabilities, J. Political Econ. 81(1973)637–659.Google Scholar
R.J. Bowden, Predictive disequilibria and the short run dynamics of asset prices, Austral. J. Manag. 15(1990)65–87.Google Scholar
J.Y. Campbell, Stock returns and the term structure, J. Financial Econ. 18(1987)373–400.Google Scholar
C. Chiarella,The Elements of a Nonlinear Theory of Economic Dynamics, Lecture Notes in Economics and Mathematical Systems, Vol. 343 (Springer, 1990).
P.H. Cootner, Stock prices: Random vs. systematic changes, Ind. Manag. Rev. (Spring 1962)24–45.
E.F. Fama,Foundations of Finance (Basic Books, New York).
E.F. Fama and K.R. French, Permanent and temporary components of stock prices, J. Political Econ. 96(1988)246–273.Google Scholar
M.J. Feigenbaum, Universal behaviour in nonlinear systems, Essay No. 7, in:Nonlinear Dynamics and Turbulence, ed. G.I. Barenblatt et al. (Pitman, 1983).
J.A. Frankel and K.A. Froot, Understanding the US dollar in the eighties: The expectations of chartists and fundamentalists, Economic Record, Special Issue on Exchange Rates and the Economy (1986) 24–38.
K.R. French, G.W. Schwert and R.F. Stambaugh, Expected stock returns and volatility, J. Financial Econ. 19(1987)3–30.Google Scholar
C.W. Gardiner,Handbook of Stochastic Methods (Springer, 1985).
G. Genotte and H. Leland, Market liquidity, hedging and crashes, Amer. Econ. Rev. 80(1990)999–1021.Google Scholar
M.B. Goldman and A. Beja, Market prices vs. equilibrium prices: Returns' variance, serial correlation, and the role of the specialist, J. Finance 34(1979)595–607.Google Scholar
J. Grasman,Asymptotic Methods for Relaxation Oscillations and Applications (Springer, 1987).
D.B. Keim, The CAPM and equity return regularities, Financial Analysts J. (May–June, 1986) 19–34.
R.Z. Khas'minskii, The behaviour of a self-oscillating system acted upon by a slight noise, P.M.M. (English transl.) 27(1963)1035–1044.Google Scholar
H. Leland, Black Monday: The catastrophe theory, Risk 1(10)(1988)6–13.Google Scholar
A.W. Lo and A.C. MacKinlay, Stock market prices do not follow random walks: Evidence from simple specification test, Rev. Financial Studies 1(1988)41–66.Google Scholar
H.W. Lorenz,Nonlinear Dynamical Economics and Chaotic Motion, Lecture Notes in Economics and Mathematical Systems, Vol. 334 (Springer, 1989).
R.M. May, Nonlinear problems in ecology and resource management, in:Chaotic Behaviour of Deterministic Systems, ed. G. Ioos (North-Holland, 1983).
R.C. Merton, Optimum consumption and portfolio rules in a continous-time model, J. Econ. Theory 3(1971)373–413.Google Scholar
R.C. Merton, An intertemporal capital asset pricing model, Econometrica 41(1974)867–887.Google Scholar
J.M. Poterba and L.H. Summers, Mean reversion in stock prices: Evidence and implications, NBER Working Paper 2343 (1987).
M.B. Priestly,Nonlinear and Nonstationary Time Series Analysis (Academic Press, 1988).
S.W. Pruitt and R.E. White, The CRISMA trading system: Who says technical analysis can't beat the market, J. Portfolio Manag. (Spring 1988) 55–58.
J.B. Roberts and P.D. Spanos, Stochastic averaging: An approximate method of solving random vibration problems, Inter. J. Non-Linear Mechanics 21(1986)111–134.Google Scholar
P.A. Samuelson, Proof that properly anticipated prices fluctuate randomly, Ind. Manag. Review 6(1965)41–49.Google Scholar
J.A. Scheinkman and B. LeBaron, Nonlinear dynamics and stock returns, J. Business 62(1989)311–337.Google Scholar
R.J. Shiller, Do stock prices move too much to be justified by subsequent changes in dividends?, Amer. Econ. Rev. 71(1981)421–436.Google Scholar
R.J. Shiller and P. Perron, Testing the random walk hypothesis: Power versus frequency of observation, Econ. Lett. 18(1985)381–386.Google Scholar
R.L. Stratonovich,Topics in the Theory of Random Noise
, Vols. 1 and 2 (Gordon and Breach, New York, 1967).Google Scholar
L.H. Summers, Does the stock market rationally reflect fundamental values?, J. Finance 41(1986)491–600.Google Scholar
K.D. West, Bubbles, fads and stock price volatility: a partial evaluation, J. Finance 43(1988)639–660.Google Scholar
E.C. Zeeman, On the unstable behaviour of stock exchanges, J. Math. Econ. 1(1974)39–49.Google Scholar