Abstract
Market data analysis in Iran stock market has been considered in this paper. The experimental data are the shares prices from Iran stock market covering a period of 5 years which is long enough to take the properties such as non-stationary of the market into account. The analysis tools are the time series analysis methods such as power spectral density analysis, time series histogram plot, and the recurrence plots. Nonlinear analysis over the shares' prices time series' for some companies such as Iran Khodro Co, Persian bank and Niro Mohareke Iran is performed. The results indicate a deterministic, un-stationary and seasonal behavior in addition to unstable periodic orbits and even chaotic behavior in these time series'. These observations imply just short-term predictability of stock's shares' prices behaviors.
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