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Journal of Applied Nonlinear Dynamics 3(2) (2014) 147--158 | DOI:10.5890/JAND.2014.06.005

Varsha S. Kulkarni

School of Informatics and Computing, Indiana University, Bloomington, IN47408, USA

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Abstract

Apparently random financial fluctuations often exhibit complexity, chaos. Predictability of limited length time series is hard to infer. Knowledge about the process driving the dynamics facilitates such analysis. This paper shows that quarterly inventory changes of wheat in the global market, during 1974-2012, follow a nonlinear deterministic process. Weakly chaotic behavior alternates with non-chaotic behavior. Cubic dependence of price changes on inventory changes leads to establishment of Duffing Oscillator model as suitable for examining the inventory changes. Endowing parameters with suitable meanings, one may infer temporary speculation changes reflect inventory volatility that drives the transitions between chaotic and non-chaotic behaviors.

Acknowledgments

The author dedicates this paper to Suresh Kulkarni. The author thanks Raghav Gaiha, Daniel Bromley, Vidyadhar Mudkavi for advice, Prabha Sharma and Pankaj Wahi for sharing their resources for this work, Chris Raphael for discussions. Financial support in the form of fellowships granted by Indian Institute of Technology Kanpur, Santa Fe Institute, Indiana University is gratefully acknowledged.

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