TY - UNPD A1 - Vogl, Markus A1 - Rötzel, Peter T1 - Chaoticity Versus Stochasticity in Financial Markets: Are Daily S&P 500 Return Dynamics Chaotic? N2 - In this study, we present a combinatory chaos analysis of daily wavelet-filtered (denoised) S&P 500 returns (2000–2020) compared with respective surrogate datasets, Brownian motion returns and a Lorenz system realisation. We show that the dynamics of the S&P 500 return series consist of an almost equally divided combination of stochastic and deterministic chaos. The strange attractor of the S&P 500 return system is graphically displayed via Takens’ embedding and by spectral embedding in combination with Laplacian Eigenmaps. For the field of nonlinear and financial chaos research, we present a bibliometric analysis paired with citation network analysis. We critically discuss implications and future prospects. KW - nonlinear dynamics KW - chaos KW - recurrence analysis KW - finance KW - financial market KW - Kreditmarkt KW - Chaostheorie Y1 - 2021 UR - https://opus4.kobv.de/opus4-h-ab/frontdoor/index/index/docId/1805 UR - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3802753 ER -