TEORIA DO CAOS APLICADA AOS CONTRATOS DE CAFÉ NO MERCADO DE DERIVATIVOS

Abstract

In the modern theory of finance, the research about the predictability of stock market returns is the subject of several papers. Such type of study is indicated as a test of market efficiency. Most part of this type of research are based on the study of the relationship between the stock’s behavior and another variables (Fama e French (1992)) or on the test of mathematical models of time series prediction (Rodríguez, Rivero e Artiles (2001)). An alternative approach to such type of study is related to the theory of non linear systems, more precisely to the theory of chaos. The objective of this paper is to check the existence of chaotic behavior in the contracts of Arabic Coffee between 11/03/20002 until 30/12/2002 (all  contracts have expiration on January of 2003). In order to reach the objective, it was utilized the qualitative and quantitative approach described, respectively, in Gilmore (1998) and Ceretta (2003). The main conclusion of the research is related to the encounter of signs of non linear dynamics on the respective market, which indicates that the asset’s behavior is not predictable on the long term.