Nonlinear Dynamic Positive Feedback Trading and the Complexity of Stock Price

  • Bang Xiao

    Student thesis: Doctoral ThesisDoctor of Philosophy


    This thesis has applied the theory from behavioural finance theory
    and by merging with the concept of chaos theory from natural science, this thesis focuses on the impact of positive feedback trading on the price formation process. By using the Hurst exponent estimation and calculating the correlation dimension value, the market index and individual firms from China have presented the nonlinearity and chaotic characteristics, thus demonstrating the source of complexity.

    This thesis proposes a new model that uses the Hurst exponent
    as the signal for thresholds to indicate changes in market conditions. The result suggested, by combining the threshold and assumptions from the positive feedback model, that the new model offers a better explanation for the complexity of the stock market which presents chaos. The model is found to be statistically significant and superiorin all comparative testing.
    Date of Award2020
    Original languageEnglish
    Awarding Institution
    • Coventry University
    SupervisorKarl Shutes (Supervisor)


    • Positive Feedback Trading
    • Hurst Exponent
    • Nonlinearity
    • Complexity
    • Chaos

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